I have three hard drives and i would like to install pclinux on the last one.
i have windows xp on the first one
is this possible

Yes. If your computer has the ability to choose which among your hard drives should be the boot drive, I would suggest you choose the third hard drive on which the Linux installation will take place, and install the grub bootloader to the MBR of that drive. As such, the bootloader would not be subject to being overwritten by any repairs to the Windows drives. Grub will provide boot options to boot Windows as well as Linux, and if for any reason, the Linux drive should be removed, the Windows drives would be unchanged in any way, so normal Windows booting would be unaffected.