GRUB as afterthought to install

Newbie dilemma: I have a Dell box with a 56-gig HD running Windows XP. I 
have successfully added a second HD, 40 gig, on which I have installed 
Linux from the Knoppix CD.

I was unprepared for the questions asked of me in the install, but thought 
at least that I would be prompted to choose between LILO and GRUB. Various 
things I have read made me think I'd like GRUB better, but I never saw it 
offered as a bootloader. So apparently I didn't load LILO either, and am 
only able to run Linux by booting from the Knoppix CD. (When I do, though, 
I can see that my new hard drive does contain the Linux files.) I tried 
booting from the boot disk I made during the install, but was told it was 
not valid.

Can I go back and install GRUB now without starting from scratch on the 
Knoppix install? Do I have to accept LILO first and then replace it with GRUB?

I really do want to give Linux a chance, but dual booting is essential.

Philip