Since this seems really hard to document and for some reason all tutorials suggests that you need to install another Linux distro...
- Install OpenELEC as usual
- Boot GParted Live without starting OpenELEC
- Resize the last parition to 7-10Gbytes
If GParted asks select no if it wants to fix your partition table
- Install Windows on the remaining part of your HDD
- Install EasyBCD
- Select "Add New Entry" in EasyBCD
- Choose Linux/BSD as Operating System
- Select the smallest partition as that's where OpenELEC's kernel is
- Make sure "Use EasyBCD's copy of GRUB" is not selected
- Add Entry
- Save by pressing "Edit Bootmenu"
Thanks goes out to heimdal @ OpenELEC forums...