1. you need to decide whether the prime bootloader is to be the XP one (ntldr), or some other (lilo,grub or another) - then you can plan how to do things.
2. you may find it a little tricky to get Windows installed on other than the first HDD
I would, given your comments, start by making the 40GB hda, and repartitioning it to have a small boot partition as the first (say 5-10 MB) and the rest for XP. Set the first , boot, partition, as type ext2, so XP doesn't try to use it when installing, and then install XP.
Now you can go ahead with the other installations. A modern distro like SUSE will probably recognise any others and XP - but I wouldn't attempt to get more detailed in my explanations until you decide which bootloader to use as this alters what you need to do.
Googling for dual boot linux will turn up pages with detailed instructions, and some of them deal with the gotchas.
I, personally, have systems using ntldr as prime bootloader, and also bootmagic as prime bootloader.