There are 2 main reasons for installing Windows first:

1 - The boot loader

Configuring the Windows boot loader to load Linux is a royal pain in the butt. It completely overwrites any boot loader that is already there, so if you have Linux installed already you can no longer boot Linux without playing around for hours or reinstalling Grub from a boot CD.

Most Linux distributions, however, will automatically configure Grub to include your Windows installation giving you easy access to Windows without any messing around.

2 - Distro tricks

Some Linux distributions will automatically detect that you have Windows installed and give you the option to import user accounts, settings and files into your new Linux installation.

If you install Windows after Linux then Windows almost always overwrites the MBR (Master Boot Record). You can just use a Live CD though to get back onto the system and repair the MBR.

I think these days it doesn't really matter which order you install. I can remember an older version of Windows had a particularly nasty installer and basically wiped the entire drive (including Linux) - hopefully it doesn't do that in recent versions of Windows, but I always install Windows first anyway so I can't confirm.

1. The Windows installer has no provisions in place for handling grub, whereas Linux installers usually detect a Windows installation and add an entry in grub for it.

2. Newer Windows versions usually can detect older Windows installations and add an entry in their bootloader for it.

3. If you have installed the grub boot code to a primary partition then all that is needed is to switch that back to being the active partition. If you have installed the grub boot code to the MBR then you will need to instruct grub to reinstall it.