Call me a rebel, or whatever, but I prefer not to put lilo in the harddrive boot sector on a machine that will dual (duel :P) boot with MS. I prefer to let MS have its way with the boots sector, an boot Linux with a lilo floppy, backed up by a spare lilo floppy and a rescue disk.
Here is why: If you screw up lilo, you can just about always recover with your spare lilo. -- faster, unattended boots. If you are switching os's, you can select your new os by inserting or ejecting a floppy, starting the shutdown, and taking a break. You dont have to hang around and wait for lilo to ask you what to boot. -- safety: I had a friend who was running dual boot, and his Norton Anti- virus noticed that the boot sector had changed, and asked if he wanted to "fix" it. He said yes, and Norton put his system into an unbootable state. There are many ways to set up dual boot. What I have presented here is probably a minority opinion on the "best" way, but it is simple, fast, relatively fool proof, and works-for-me (tm). Mike