Note: Since messing with your MBR is very dangerous (you obviously already know this), I would wait until someone else confirms this. I don't have a large amount of experience in Linux or with LILO, so I very well could be wrong. However, it works for me.

It should be very simple, but it may not work with other Windows versions. This works for me with WinXP Home. It isn't set up (in lilo.conf) to dual boot the os's (afaik) by default, so you have to add an entry to the file. It should be as simple as adding:

other=/dev/hd?? (your windows partition)
label="Windows"

and change:
boot=/dev/hd??

to:
boot=/dev/hda

to the end of your lilo.conf file and typing lilo in a terminal. Another thing to check is the timout settings in lilo, so you would actually have a chance to choose. If you are used to it starting windows, change the default= to default=Windows (or whatever you label the windows boot choice) and it will start with windows without any input.

My lilo.conf file looks like the following, and works perfectly to dual-boot Windows XP Home and Linux on the same hard drive(note that I have two links, one for the old kernal and one for the new; this is not necessary, but the network driver i have to use for my intersil whatever wifi chip won't compile with 2.6.1):

vga=791
# /etc/lilo.conf - See: `lilo(8)' and `lilo.conf(5)',
# --------------- `install-mbr(8)', `/usr/share/doc/lilo/',
# and `/usr/share/doc/mbr/'.

# +---------------------------------------------------------------+
# | !! Reminder !! |
# | |
# | Don't forget to run `lilo' after you make changes to this |
# | conffile, `/boot/bootmess.txt', or install a new kernel. The |
# | computer will most likely fail to boot if a kernel-image |
# | post-install script or you don't remember to run `lilo'. |
# | |
# +---------------------------------------------------------------+

# Support LBA for large hard disks.
#
lba32

# Overrides the default mapping between harddisk names and the BIOS'
# harddisk order. Use with caution.
#disk=/dev/hde
# bios=0x81

#disk=/dev/sda
# bios=0x80

# Specifies the boot device. This is where Lilo installs its boot
# block. It can be either a partition, or the raw device, in which
# case it installs in the MBR, and will overwrite the current MBR.
#
boot=/dev/hda

# Specifies the device that should be mounted as root. (`/')
#
root=/dev/hda3

# Enable map compaction:
# Tries to merge read requests for adjacent sectors into a single
# read request. This drastically reduces load time and keeps the
# map smaller. Using `compact' is especially recommended when
# booting from a floppy disk. It is disabled here by default
# because it doesn't always work.
#
# compact

# Installs the specified file as the new boot sector
# You have the choice between: bmp, compat, menu and text
# Look in /boot/ and in lilo.conf(5) manpage for details
#
install=/boot/boot-menu.b

# Specifies the location of the map file
#
map=/boot/map

# You can set a password here, and uncomment the `restricted' lines
# in the image definitions below to make it so that a password must
# be typed to boot anything but a default configuration. If a
# command line is given, other than one specified by an `append'
# statement in `lilo.conf', the password will be required, but a
# standard default boot will not require one.
#
# This will, for instance, prevent anyone with access to the
# console from booting with something like `Linux init=/bin/sh',
# and thus becoming `root' without proper authorization.
#
# Note that if you really need this type of security, you will
# likely also want to use `install-mbr' to reconfigure the MBR
# program, as well as set up your BIOS to disallow booting from
# removable disk or CD-ROM, then put a password on getting into the
# BIOS configuration as well. Please RTFM `install-mbr(8)'.
#
# password=tatercounter2000

# Specifies the number of deciseconds (0.1 seconds) LILO should
# wait before booting the first image.
#
delay=300

# You can put a customized boot message up if you like. If you use
# `prompt', and this computer may need to reboot unattended, you
# must specify a `timeout', or it will sit there forever waiting
# for a keypress. `single-key' goes with the `alias' lines in the
# `image' configurations below. eg: You can press `1' to boot
# `Linux', `2' to boot `LinuxOLD', if you uncomment the `alias'.
#
# message=/boot/bootmess.txt
prompt
timeout=300
# prompt
# single-key
# delay=100
# timeout=100

# Kernel command line options that apply to all installed images go
# here. See: The `boot-prompt-HOWO' and `kernel-parameters.txt' in
# the Linux kernel `Documentation' directory.
#
# append=""
append="hda=scsi hdb=scsi hdc=scsi hdd=scsi hde=scsi hdf=scsi hdg=scsi hdh=scsi apm=power-off nomce"

# Boot up Linux by default.
#
default=Linux2423

image=/vmlinuz.old
label=Linux2423
read-only
optional
# restricted
# alias=1

image=/boot/vmlinuz-2.6.1
label=Linux261
initrd=/boot/initrd.gz
read-only
# restricted
# alias=2

# If you have another OS on this machine to boot, you can uncomment the
# following lines, changing the device name on the `other' line to
# where your other OS' partition is.
#
# other=/dev/hda4
# label=HURD
# restricted
# alias=3
other=/dev/hda1
label="Windows"