A multi boot system, which is what you want to end up with offers you the choice of which system to start when you first turn the PC on.
The normal route for mlti booting is to install the older OS first, then XP on (say D:) second.
Not sure what the result will be if you do it the other way around, never tried it that way.
If you have Partition Magic, you could use the boot utility that comes with it called boot magic.
Other than that, if you want to try it, it is just a matter of putting the ME CD in the drive and when it offers the set up routine, direct it to D:
For a faster set up, copy the Win9x folder (and contents) from the CD to a new folder on D: then run set up from there.