Dual Boot - Jittery

[Weiers Coetser]

Hi

I just received my Ubuntu CD's and would like to set up a Dual Boot 
system with Windows XP.

I currently have Mandrake 10.1 installed on the same hard-drive, but 
would like Ubuntu to replace Mandrake 10.1

I cannot afford to lose my Data partition (Fat32) however... and it 
seems the CD would like to format the whole Hard drive by default. That 
scares me.

Could somebody perhaps explain what steps I should take to set up a dual 
boot system?

Thanks
Weiers