Be very careful. I think XP will automatically write the NTLDR
(Windows boot system) to the primary drive and primary partition even
if you install elsewhere. So you might possible destroy your Fedora
GRUB (your Fedora data/partitions should be safe).
You might consider unplugging the first drive when installing XP. So
you don't accidentally overwrite something on the main drive. That
being said it might be least destructive to have XP on the first
partition on the 2nd drive (assuming that's possible).
You can always later use GRUB to chainload. Adding XP to boot from
GRUB is very simple 2 lines to '/boot/grub/grub.conf'
title Windows XP
rootnoverify (hd1,0)
chainloader +1
hd1 = 2nd drive (hd0 would be first)
0 = first partition
I have not done this in a long time, but was successful in the past.
Normally, if you install *nix then install Windows, Windows will over
write the loader and you will end up with only XP booting, however it is
possible to recover by using a LiveCD. If you install XP then install
*nix you do not have this problem. I can't remember where I found the
article, it was either while searching for Ubuntu or Gentoo stuff, and
it is a little more involved then simply install windows first, but you
can do it