Yes, you can install it that way (dual-boot). I have installed Ubuntu on my desktop computer in that way. First install Windows, make sure you leave some harddisk space (i.e. make Windows not use the whole harddisk). Then install Linux. The Linux installation will install a boot loader (Ubuntu used GRUB) that shows a menu on screen before the operating system boots. That menu allows you to choose which operating system to boot.
On Ubuntu, you can in the installer even resize your Windows partition to make space for Ubuntu.
I don't know how it specifically works with CentOS.
Make sure you backup any important data on your Windows partition before you attempt this; if you accidentally do something wrong with the disk partitions, you may loose all your data.
You can get GParted as a bootable disk and create a partition that way.
Our Linux FAQ has a section on installing. Since you are new, I'd recommend using VirtualBox or VMWare and a virtual machine. You run much less risk with a VM than changing your disk partitions, plus you can experiment with different flavors of Linux without multiple partitions.
It's also polite to mention when you have posted the same question on another forum
Another possibility is to run CentOS within a virtual machine using a tool such as VirtualBox. Then you won't have to dual-boot; instead you can start Windows and once it is up launch VirtualBox and open the CentOS virtual machine.