Since you are using a Dell laptop, it would contain only one NTFS partition and WinXP must have been installed
In that case, it is a bit complicated for you as you may have to go for either a re-install (after a low level format of your hard disk) or a repartition. In both the cases, you will have to be careful and take backup of your important data. FYI, I have tried Knoppix (live distro) on a Dell laptop and it doesn't work
Anyway, if you decide on a clean re-install (which is the preferred option) first install Windows and then GNU/Linux. Installing Linux after Windows will also properly configure boot loaders. Everytime your machine starts, you will have to choose which OS to boot into. If you install Windows after Linux, it will overwrite boot loader and then you will have to sit and recover it (which also is not too complicated).
But before proceeding, just check for compatibility of various distros with Dell Laptop.