Which OSs? If you're wanting to install Windows and something else e.g. Linux, install Windows first; it'll save you headaches later.
Simply choose the target partition/drive in the Windows installer and let it install. Then, install the other OS using its installer to the other drive you want, but make sure you install the bootloader over the original bootloader which will belong to Windows in this case; that is to say install the bootloader on the original drive.
Hope that makes sense.
If you're installing two versions of Windows on separate drives, then you don't even need to think about it. If you're doing XP and Vista dualboot just remember to install XP first.