The manual approach is to spin up Ubuntu live CD, use gParted to shrink your XP partition, run the Ubuntu installer, let it use the available space, install grub to the MBR, create an entry in the grub menu for XP, and you're done.
The automatic way is to just run the installer and let it do all the above, with partition sizes that you specify.
Linux doesn't have to be in the first partition. In fact, it can be installed in a logical partition. You will need to let it install its boot loader in the MBR (this should be the default) and it will/should add an entry for XP so you can pick the OS you want to boot.
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