Well... Insert the DVD into your DVD-drive and reboot. Usually, if I remember it right, you can use it as a so-called "Live Distro" - You don't need to install it. That's good for beginners (I learned it that way, too), because no matter what you do, if you screw up something, you can just reboot and you have a "good as new" linux environment.
The downside of a live distro is that it is much slower than a hard drive install and it's quite difficult to save your data. But for that, you can use pendrivelinux.com's Live Stick installer
, which allows you to install a linux image to a usb stick...
IMHO, this solution is better for beginners than installing to hard disk, as I said, if something is wrong, you don't put your computer/data at risk...
I can remember, when I was a beginner (~ 5 years from now), I wanted to install Ubuntu to hdd, but I done wrong with partitioning and... well, let's say, my hdd was Ubuntu only. (Wasn't the worst thing that could have happened to me - Still better than Win2k IMHO).
Anyway, always remember the "Tux's Creed":
1. Don't work as root. Just. Don't. Do. It.
2. Think before you press [Enter]. There is no "Do you really want to *?". You send the command = you want.
3. Experiment. Try stuff out. You don't learn by reading - you learn by doing things.
And most importantly: Have fun and happy linuxing. I hope my post didn't scare you off - Linux is great, if you go to it the right way.