Congrats on your recent purchase and welcome to the mac fold, it's a good place to be!
Like mck said, your installation will depend on whether you have parallels or will use boot camp. The installation with parallels is painless and basically automated. It is a great program which will allow you to run XP or Vista in Mac OS X, it's leaps and bounds better than the old windows emulator, virtual PC. That said, parallels doesn't yet have the great 3d video support so some games will not run well under it, but for other MS productivity applicationss it should prove more than adequate.
The size of the partition really depends however on what you will use your new MBP for. While macs aren't ideal gaming platforms, your new purchase should have enough graphic muscle with the newer 8600m to play many of the more demanding windows games with "acceptable" frame rates:
http://barefeats.com/santarosa.html. If you plan to play windows games on it, I would be generous with the partition and say something like 30 to 40 gb for windows and even up to 60 or more. If you purchased the 160 gb standard or 7200 rpm drive, that should leave you ample space for files on the mac side, besides, you'll have that external drive (it can be a pain transferring large files however, but if it's firewire 800, that's at least a better). If you just want XP as a back-up and don't want/need to play PC games or use windows, go with 5 -10 gb, MS says it needs at least 1.5 and you can bet it'll be more greedy than that and you'll also need room for anti-virus/spyware and firewall software if you spend any serious time using windows:
http://support.microsoft.com/kb/314865
If you're going to run vista, plan on partitioning more space.
My MBP is 10 months old and I have only used just over half of the drive with three mac games installed, 20 gb of music, photos, and MS office, as well as an archived version of the OS (buggy office install, don't ask...).
Go here for more info on boot camp:
http://www.apple.com/macosx/bootcamp/
If you're not going to use parallels, simply download the boot camp file, print out the guide, make your driver disk, and follow the instructions but above all, have patience, it's not like OS X, but it should work fine! Just be sure if you're using XP to get it with SP2 as I believe that is one of apple's requirements. If you are going to install Vista, get home premium. I read someplace you want to avoid basic as it's a very hobbled version of the OS, but I'll defer to someone more knowledgeable on that point, especially if you don't ever really plan on using it.
You can find affordable versions of windows at the ars technica marketplace, as well as amazon.
Good luck and happy hunting.