Generally with XP, you need to use the NT Boot Loader or grub. The problem comes from the fact that XP really wants to be the first or second partition, which means there's a chance (if your computer's BIOS is old enough) that the Linux kernel cannot load on the 3rd, 4th or 5th partition. Personally, I find the NT Boot Loader acceptable and easier to install. There are some guides and FAQs out there on how to do this and go into more detail than I can.

First you use a live/rescue cd to partition your drive. You'll need one NTFS/FAT32 partition, three linux partitions with code 83, and one Linux swap partition (82). This is more than 4, so you'll need to create an extended partition. After this, straight away, install XP. Now go back and install Linux, but DO NOT have them install a boot loader on the MBR (the disks' master boot record) -- Instead, either use a boot disk or install the boot sector on each local partition. (Also, if possible, for simplicity, avoid using LVM - linux volume management). Let the two Linux installations share a single /boot image. You can boot into XP and configure the NTFS loader to "chain load" into your /boot partition, which will then run grub and let you select one of the other two operating systems. (Or, each linux installation has a /boot directory -- not in its own partition, and grub is configured for each partition independently).