Step 1) Pick a distro:
Step 2) Visit the distro's website and download it
Step 3) Decide how you want to run it, choices are: a) Stand-alone installation next to Windows, so when you boot the computer you get to choose if you want to boot into Windows or Linux. b) Live "installation" - you load Linux onto a USB or CD, and then boot into that when you start up your computer. This is slower than "a", but you make no changes to your disk so there's no chance of screwing something up in the process. c) Virtualization - install VMWare Player or VirtualBox in Windows, and then install Linux inside as a virtual machine. This has the advantage of giving you a real installation you can mess with, without making any permanent changes to your system. The disadvantage is that you need a computer powerful enough to support running two operating systems simultaneously (Windows and Linux).
Step 4) Install it and use it - details depend on which option you chose from Step 3.