If you're going to install XP, then you should do that first. Then, you can install Mandrake, which should have HFS support via a kernel module, unlike Knoppix; if not, you can always install hfsutils. Mandrake will give you the option to install GRUB, which will make both XP and Mandrake available.
At last, if you wish, you may install BeOS, which will install its own bootloader, which is not as fancy as the Mandrake one, but should take care of XP, Mandrake and BeOS. BeOS should support HFS with no problem, as it was originally designed for PPC.
Hope this helps.