I agree with Colif, also something to note - regardless of same or separate drives - you should install Windows first, and then install Linux and let it's bootloader - typically GRUB - take over and it should automatically "see" the windows installation and add it to the boot config. This way you get the nice little screen where you can pick which OS to boot when powering on the machine.
That being said, it is important (on desktops) to be aware of which SATA ports your drives are on. Here is a situation that can happen.. Lets say you have a total of 3 drives. 1 for Windows, 1 for Linux, and 1 for data storage. If you have the data storage drive plugged into SATA port #0 (first), and the Windows drive plugged into SATA port #1 (or higher), When you go to install Linux on third drive, the installer may try to automatically install GRUB onto the first drive it sees which is /sda, or SATA port #0, a.k.a your data drive - and leave you system in a non-bootable state. This happened to me actually just the other day, installing Ubuntu 16.04 onto a system. First time I have had that particular issue happen as far a I can remember (it may be isolated issue with Debian/Ubuntu installer). No damage was done/or data lost, I just had to manually configure GRUB, which, can be daunting to someone not used working with GRUB and partitioning Linux drives, to get system back into a bootable state. To avoid this, I would unplug any non OS related drives when installing, and then after confirmed dual boot working, plug them back in.