In my experience, the best way to dual boot a machine is to know ahead of time that you'll be dual booting. This way, you don't even need to mess with partitioning tools. If windows is installed first, but you leave the amount of space recommended by the distro to install Linux on, most distros will see that windows is installed and do the right thing for you. Some distros (SuSE comes to mind) will even make a mount point for your /C: drive on your new linux system (called "/windows").
If you have data already stored under windows, and linux is an afterthought (which is what it sounds like), then you have to make sure that you leave enough room to install to. Just because you have a 40GB drive doesn't mean you have 40GB of space available to play with. Boot to windows and find out how much space it tells you you're using.
Another thing that comes to mind is that I *believe* (don't quote me), that some distros don't allow your /boot partition to be on an extended partition, so if you already have a C, D and E drive, you're pretty much toast, because they're all probably primary partitions. You can only have 4 primary partitions, and that's if that's *ALL* you have. If you need more than 4 partitions, your fourth partition must be an *extended* partition, in which will lie the other partitions. Since you have created three primary partitions (under windoze), and you're required to create three partitions under linux (boot, root and swap), that makes 7 partitions you need, which means partition four will be extended, which means you can't boot from it under some distros.
Newer versions of SuSE and Mandrake I don't think have this problem. I believe redhat/fedora does have this issue unless you do some hack involving the advanced partitioning functionality in the anaconda installer.
good luck.
