So, you have XP, and wish to dual boot. Well Ubuntu and some of its distros have the option to download a windows executable "wubi.exe" http://www.ubuntu.com/desktop/get-ubuntu/windows-installer
then after the download has finish you run it like if you were going to install any other product and choose the settings . For example if you want to give 20gb of HardDrive space to linux and keep the rest for windows . It also has the option to choose your enviorment like ubuntu, kubuntu, and others . :)
To install from a pen drive a.k.a usb flash drive Ubuntu.com has a great tutorial
http://www.ubuntu.com/desktop/get-ubuntu/download
here the link above and scroll down to step 2, choose weather you wish to create a cd or USB pen drive, it will give you detailed instructions on how to create a bootable usb in mac, windows, and, ubuntu