Yes, you have to create at least 1 partition for each OS you want to run. You can do this with FDISK or with the 'format disk' option in Windows. However, repartitioning your harddrive will destroy your data. There is a tool called Partition Magic that can resize existing partitions/create new ones nondestructiviely, but it costs about $50. There are some freeware ones out there as well, but PMagic is the best and supports the most filesystem types.
As for booting multiple OS's, there are a few ways to do it, and newer versions of Windows can boot multiple Windows OS's, however for diverse operating systems there are two programs that are the best; they are both associated with Linux and are called LILO and GRUB. GRUB is a graphical menu/bootloader and LILO is text-based, other than that they are functionally similar. I use GRUB to switch between Linux, XP, and QNX on one of my machines. You should be aware, however, that not all OS's will play nice with each other- certain versions of Windows (can't remember which ones off the top of my head) want to be on the 1st partition of the boot HD.
(which reminds me, as a side note: if you're willing to install another HD (external or something) you can switch between two OS's just by installing one on each HD and changing the 'boot' option in the BIOS when you want to switch-not sure if laptops generally have this option though)
The best way to install LILO or Grub without actually installing Linux is to use one of the Linux distros that will boot from CD - Knoppix is good, and Gentoo (what I use) also works for this- however, you don't actually want to install Gentoo on that box, take my word for it. 😉
Now then, as for actually doing this, I wouldn't really recommend it, assuming you meant that it has only a 40 meg HD...(which seems rather small even for a Pentium 1, I might add.. but 40 gigs is much too large for that time period.. 400 megs maybe?). You might be able to fit 95 and 3.1 on there, but you won't have much room for anything else (although I did read recently that someone created an uber-small version of 95). There are a few Linux distros that will run on there as well, but you won't be able to do much with them (not to mention for Linux to run well you generally need a seperate swap partition). .. QNX would be another option (that actually runs well on slow machines), but it's kind of useless unless your hardware is supported, so check that first if you want to screw around with it.
Phew.. sorry for all the parenthesis, elipses and whatnot. It's kind of an in-depth topic and the details vary depending on what OS's you're installing, and some of it is trial and error. I hope that gives you a decent overview, though.
