First of all, there aren't daft questions - only daft answers. I think you would be best to install Windows first as you have always done - into the first partition on the drive. Then, install PCLinuxOS into another partition(s) with grub into the first (Windows) partition. In my setup here, I have three partitions for PCLOS: /, /home and swap. In addition, I have another partition (usually /sda7), which I refer to as /disk. Into that partition goes my Thunderbird 3r45twhatever.default, photos, backups of Bookmarks from Firefox, favourite wallpapers etc. etc.
Then, if I ever have to do a fresh instal, the backup data is still there.