if you r installing the linux when previously you've got window ,
when you go in to the step of selecting whether or not you want to install the linux boot loader (GRUB i think)into the master boot record, choose yes or somting like that, and done u have dual boot system. and when the system reboot , up to the step it counts down, you need to press "Enter" in order to choose wat OS is gonna be booted,
If u want to go back with window boot loader , i think u need to have the window CD -> repair then type fixmbr , it will do it for you
good luck