I had lots of issues when I was setting up a dual-boot, to the point that I abandoned the effort when I calculated the value of my time against buying a second machine. However, there are lots of resources on the Web. When I was searching around via Google I found many discussions of the topic.
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Typical problems were caused by hard drive definition in the BIOS and getting the boot sectors right. Another problem is that Windows expects to own the whole disk, so it's important to load Linux after installing Windows. I don't recall hearing about config issues, per se, however, and I didn't experience any issues like that.
Editor's note: A reader responded to this expert question with his own experiences trying to set up a dual-boot.
"I'd like to expand on your answer to the gentleman with the XP/Linux dual-boot problem. I've been doing dual boot (actually in a lot of cases, multi-boot) of Microsoft and various Linux distros since Red Hat 6. The most stable setup I've found is to use the Windows boot manager as the primary boot manager. Then, install LILO or GRUB on the partition in which the Linux boot code (/boot or the root if you don't have a seperate /boot slice) is installed -- which can be either a primary partition or a logical "drive" of an extended partition (NOT to the MBR). Extract the boot sector from the linux partition using DD and copy it to the root of the Windows boot drive.
Add in an entry in boot.ini pointing to the Linux boot code file. When the machine is booted, the Linux entry will show up; if it is selected, control is transferred by the Windows boot manager to the LILO/GRUB install on the Linux partition and away you go! Right now, I have two machines here that are setup multi-boot (one with 4 different Linux distros) and it works great. One caveat -- you can have a max. of 10 entries in boot.ini."
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