hi!
If you have windows already installed and an internet connection, you can get the newest versions of different linux distributions and do a internet-installation using unetbootin:
http://lubi.sourceforge.net/unetbootin.html
I would encourage you to use ubuntu 7.10 or pclinuxos 2008. They are both very good first distributions (flavors) of linux.
You want the .exe files. They can be opened from within windows. It will ask you to reboot, and then will start running an internet installation process which is user-friendly.