Ya!
it is very easy, if you have already sufficient partitions in your hard disk and that partions now empy . say, you have Windows xp in C parition and there are another four partition as d, e,f,g...just instal the distro you want in the partition you marked, but install the the bootloader( the question will be asked at the time of finalisation of installation in case of fedora ,mandriva distros,)just select the root partion for Grub, then, install another distro in another partition but this time( if it is final distro) install grub in MBR(ex, if it is ubuntu it recognised all the distro already installed, and you will find the entries in its boot loader including your windows OS.. One last thing just make sure one swap partition equal double the size of your RAM is available(One swap is enough for all other distro..)
with regards,
vaithy