If you plan on dual booting with Windows then install it first. The Windows installer will setup the Windows partitions. Then, either using GParted or the Windows Disk Management tool shrink the Windows partition. The free space will be used for the Linux installation. As for the Linux partition that depends on your preferences. I would recommend EXT4.
*EDIT: The partition will have to be a primary. If your system uses legacy boot then you can have 4 primary partitions. Otherwise the number of available primary partitions is based on your available disk space.
If you are using UEFI then an EFI boot partition will be needed for your Linux install. You may want to just shrink the Windows partition then allow the Linux installer to setup the partitions and boot loader.
At startup, assuming GRUB has been setup correctly AFTER you install Windows, the GRUB menu will appear and you should have 10 seconds to choose which OS to boot into.