You can choose to load Knoppix to your spare drive and if you use the defaults, Linux will recognise XP Pro and include it on its own boot loader (normally Grub or Lilo). The downside to this, is if you don't like or can't get on with Linux, it's difficult to un-install without screwing up your XP installation.
Alternatively, you can use a third party Boot Manager, such as Boot Magic (part of the Partition Magic suite) or, you can choose to boot from a floppy, which I dislike due to the floppy's lack of reliability.
If you use a third party boot manager, make sure when you get to the part of the installation that deals with booting up, you choose to write the boot files to the first sector of the Linux drive (NOT the MBR), otherwise you will end up with the first option by default.
Overall, if you just want to "play" with Linux, the floppy method may not be a bad option, as if you like the system, you could always reload it at a later date, with one of the other options. Or maybe, if you get conversant enough, modify the boot files when the time comes.