Install XP first, then Mandrake
Mandrake will read fat32 and ntfs but I wouldn't recomend writing to it.
When you boot from the Mandrake CD you'll prolly need to type linux noauto for the install to work
Now theres multiple ways to setup dual boot during the Mandrake install.
You can just install LILO to your main harddrive and everytime you boot you'll get a nice screen to choose XP or mandrake.
The only prob with this is if you want to get rid of Mandrake...