XP Live distro? You wanna pm me that info, then I'll help you set it up

Really it's quite simple.
Whichever partition you mark as active(bootable) will have it's boot sector loaded by the mbr.
How is your machine being booted currently? Windows?
Then you use that, which would be NTLDR and load grub4dos from it. Grub4dos can load any os you have on any partition you have with the right menu.lst file that points to the right files. It can read ntfs, fat32, and linux ext2+3 so it has to be the most versatile boot loader out there.

Recently, I posted my menu.lst in one of these topics. I think it had like 8 or so. Even has a Backtrack 2 final item, but that is old nowadays. The tricky part is after you install one of these, you have to find out what the boot requires for kernel parameters etc... but if you can find the grub.conf or menu.lst the distro would have used... you can copy the information from that to your real menu.lst

For example: say you installed Backtrack to /dev/hda7
If you then boot Knoppix from the DVD and mount/browse /media/hda7 you would find a /media/hda7boot/grub/grub.conf file there that has the options it would have used on your bootloader if you let it install one. So you copy that info to the C:\menu.lst file... that grub4dos uses in /media/hda1/menu.lst