Of course, DOS 6.22 supports Windows 3.1 but not Windows 95 and later. I've been told (
here's an explanation in Spanish--by SuperHuevis, scroll down) that it's like Reup says: define only one main partition for DOS and set it as active, then install DOS. Then install Windows, make the Windows installation program create a new partition --don't install it in the DOS partition-- and presto. By default you'll be able to boot DOS by pressing F8 as Reup said.
But there's another option to display a menu at the startup in order to choose which OS you want to load, instead of having Windows loaded by default unless you press F8. To enable it just go to
Control Panel > System > Advanced Options.