Triple Boot XP, Ubuntu, Fedora

As usually what you need to do is install XP first but be sure to let enough space for the linux OS.
after you have finished, install some of the two linux, lets say Ubuntu, if you install from the live CD, be sure to manually edith the disk partition and left room for Fedora.
I recommend something like this
/dev/sda1 XP NTFS
/dev/sda2 Extended partition
/dev/sda3 boot ext3 -> 100 Mbytes (for Ubuntu)
/dev/sda4 Swap -> 1 Gbyte (for Ubuntu)
/dev/sda5 / ext3 -> any size you may want for Ubuntu

this edition of CD will not let you choose where to install the Grub so, it will be installed directly on your MBR, once you finished you can confirm that you can boot from XP or Ubuntu.

Now start installing Fedora5
when it asks you where to install Grub choose the option of the first record of Fedora Partition,

and use manual partition for doing this.

/dev/sda6 ext3 /boot -> 100 Mbytes (for fedora)
/dev/sda7 SWAP -> 1 Gbyte (for fedora)
/dev/sda8 ext3 / -> Any size you may want for Fedora.

After finishing installing this boot your system with ubuntu Linux.

go to the /boot/grub/ directory and edith the menu.lst file and make this addition
title Fedora
root (hd0,5) # Remeber that it count from 0 so (hd0,5) means /dev/sda6 (or /dev/hda6 if that is your case)
chainloader +1

with this change the next time you boot your system you should be able to choose

XP
The ubuntu Kernel you have or all the options of ubuntu you may have.
and
Fedora option
which will take you directly to the Grub menu of Fedora with all the kernels available there!

Enjoy ubuntu... ;)