There are different ways to do it, but one I like is to use the "GRUB for Windows" from a linux distro called Topologilinux. (In a nutshell, it's a Slackware-based distro that's meant to run from a couple of large files on your NTFS partition, rather than its own hard disk partitions.)

You can get it by either downloading the first ISO of the 2-CD set, or getting the grubinstall-1.0.zip file from here.

Couple things missing from the zip file that you get on the CD: a sample "menu.lst" that you can modify, and an "install.bat" file to install the thing.

It can be used to dual-boot WinXP with any Linux distro (I've used it to dual-boot Red Hat/WinXP and Knoppix/WinXP) and it doesn't muck with your MBR. If you're interested, I can post more info.