Last time I looked into trying to setup GRUB on a so-called "fake" or "BIOS" RAID, especially a RAID 0 setup, it is tricky and fairly involved at best and involved using dmraid for recognizing and mapping the partitions that are spanned across the RAID disks.
If you are serious about trying to setup such a system, I'd say it's a better idea to setup GRUB on the third disk's MBR and either just use the boot order of devices to change (easiest initially) then you can setup dmraid to setup the mapping and setup GRUB to include the Windows XP install in the list of bootable OS's after you can map the RAID partitions properly
In the bios I should make the third disk as primary and then start the install process, so that grub can install itself on hd2. Hopefully, it will scan the other disk and see that it has another OS already on it and generate the correct menu.
That sounds about right, if possible (some installers will let you inspect the GRUB/LILO installation steps/setup) double-check the steps that the installer wants to do in terms of GRUB placement and items in the boot menu.