It is not possible to do what you would like to do without using a third party boot manager.
No problem with installing linux and xp with no third party boot manager so long as it is done in Fat32. If done in NTSF then a third party boot manager would be required.
Vista CANNOT be installed to Fat 32. Microsoft is in the proccess of doing away with Fat32 and made Vista unable to be installed to it. (Someone later on may develope a way to do this but at this time I am not aware of it)
Since you have Linux already installed on the computer, Xp will have to disable the Linux MBR in order to install (built in default). After installation it can be repaired but will not be stable or very secure because of the Fat 32 format.
If you choose to use the NTFS format then the Linux MBR would have to be repaired and controlled by (preferably) GRUB.
If I may.....I suggest that you look into BootIt NG as a third party boot manager. I have been using it for years and it allows one to install ANY operating system on Any Partition or Drive that is allowed to be bootable from your computer. (some computers do not allow booting from USB or eSata)
After installation a boot screen will be shown and allows you to boot to any operating syatem. This hides ALL MBR's from each other so the operating sytems remain intact but still allows sharing from system to system. Boot Manager, Partition Manager, and Drive Image Utility - BootIt Next Generation
Hope that helps