Well, you want to install Windows first and then transfer everything over to the new drive. You can install Linux first, but I've just found it's less of a hassle to install Windows first. I would also back up your important data, just incase you ally screw up your formatting prodecure (Better safe than sorry!).
I don't know which distro of Linux you're looking at, but Mandrake is one of the easiest to setup. There's one other that's easier to setup, but the name escapes me at the moment. Anti-Trend would know for sure, as he's more or less the resident Linux guru here.