Now I know that this works, because I got it working before, but I forgot how to get this working (stupid me )... I tried all sorts of stuff, and I been searching like an idiot, but I can't get my Grub installed on another partition.
I'll try to explain:

My partitions are like this:
1. hda1 -> Primary partition for win98 (FAT32)
2. hda2 -> Primary partition for Windows XP (NTFS)
3. hda3 -> Primary partition (extended) which contains partition #5 and #6
4. hda4 -> Primary partition for shared data between the different OS'es
5. hda5 -> Logical partition for Suse 9.3
6. hda6 -> Logical partition for Swap (suse 9.3)

Now my problem is that GRUB got installed on partition #5, in the directory /boot/grub/ as usual, but I want it to be installed on partition #4, but I really can't get it working...

The reason why I want this is because I don't want Windows XP/98 to see any weird partitions (like my Linux partition), and that is possible by hiding these partitions when I boot Windows XP.
My menu.lst hasn't changed since I re-installed Suse (and also Grub), so the problem isn't my Grub. When grub loads, all my partitions are made unhidden, and then When I select a partition, Grub hides the other partitions (except the partition I boot from and the shared data partition).
Now the problem is that when I boot into Windows XP/98, Grub hides partition #5 and #6. This isn't a problem, but when I reboot, Grub won't load because the MBR points to a partition that is hidden and thus can't be found (partition #5)...
Now can anyone explain me how I can get my computer to boot from the MBR, and then let the MBR point to the boot files on partition #4, and not the one on my hidden suse 9.3 partition?

I am not sure I agree with your assertion but humour me.
You have not posted your /boot/grub/menu.lst file and I suspect you have an error if you think something can be hidden from grub. The below stuff is only for my curiousity for you to try.....its better you post your menu file but linux offers choice.

1) GRUB can hide any partition....agreed
2) MS likes to see only Ms stuff....agreed
3) what is the point of putting grub's booting files onto a primary partiton that I don't know its format?

so if you have a backup floppy that works.....and you have written down you menu.lst file
copy all of the /boot/ and sub-folders and files to target partition then when grub in mbr starts press escape to stop timer and press C for commands and after reading my signature help files you know to try

root (hd0,3)
setup (hd0)
boot......and cross your fingers.....if it fails change the top line to root (hd0,4) etc to reset

this may not work......if grub does not know what to do with your format.