The Mandrake Lin4Win thingy is a great way to try Linux, but it's not a 'program'. It creates a couple of HUGE files on your computer (normally your C drive) which are actually complete Linux systems, it 'mounts' them (for those who know what this is) and boots from them. In order to run Mandrake Lin4Win you will have to reboot your system, but you don't have to set up any new dedicated partitions.
If you're happy with changing your partition information (creating, deleting, resizing, etc) then may I suggest that you read as many of the threads herein (use the search thing, its easier) and bite the bullet!
On a similar note, everyone knows about
Wine but is there anything around along the lines of Line (see the pun there
) letting you run Linux programs from under Windows. I would think that this would allow many more people a view into the lovely Linux world!