I've currently got Windows Vista. I tried to download Linux Fedora, and I get a message saying "Windows cannot open this file. To open this file, Windows needs to know what program you want to use to open it."

Then I get the option to "use the web service to find the correct program," but I get "page cannot be found" when I try that. My other choice is to "Select a program from a list of installed programs," but I don't know what to do there either.

Obviously, I'm a complete novice with no idea what I'm doing. Thanks for your help!

well, I installed FEdora 8 on a virtual machine, what i recommend you to do is the following:

Download Vmware WorkStation, not virtual PC.
Follow the instructions to create a virtual machine and a HD.
Then try to install ur Fedora Distro on the virtual machine.

Hope this can help you.

Linux is an opeating system, not just another program, so you can't run it from Windows as such (leave aside virtualisation fo now).

The idea is to install linuz as you would Windows, or to run it from a bootable CD or similar.

What are you trying to acheive?

I know it's an operating system. My question is how to install it. I.e., what steps do I need to take to use Linux on my computer? Thanks.

Use Nero or something similar to burn the image to a disk and boot it. Note that you have to burn it as an image and not just copy the file across (the latter won't boot)