Definitely install Windows first, then PCLOS. You can set the partitions beforehand using several methods, and if memory serves the Windows installer itself should let you just a create a partition with empty space following it, too.
Also, regarding Virtualbox, depending on your hardware you could also run PCLOS in Virtualbox on Windows. The machine I am typing this on is a dual-boot that I run PCLOS KDE and Windows 7 Home 64-bit on as the boot OSes. When in Windows I run PCLOS XFCE in Virtualbox, as doing anything on the web in Windows makes me uneasy, and this machine has the hardware to run it so it is at almost native speeds. I have wobbly windows and transparency, and it handles everything fine with two processors and 2.5GB of RAM assigned to the VM.