The only problem is that the three OSes do not share a boot loader. You don't tell us whether your current dual boot uses NTLDR or GRUB2. PCLinuxOS uses 'legacy' GRUB, so the easiest thing to do when installing it is to install the boot loader to the partition on which you installed / and then chain load it as you do whichever OS you currently chain load. The boot loader installation comes at the end of the pclos installation. Read the dialogue box carefully to select the correct location. Do not follow the instructions given in the wiki about installing the boot loader as that will wipe you current boot loader and could render your 'buntu unbootable.
If you need more help, the best place to get it would be a forum for the OS whose boot loader you use, as they will know how to set it up, rather than us.