I'm all in favor of helping someone start using Linux but I just want you to know that there may be another course of action. Go to your computer manufacturer's web site and see if they have system restore CDs available. The big manufacturers usually keep these in stock for about four years. If they are available they usually cost about $15 to purchase. So you may be able restore Windows to your computer without spending a lot of money purchasing a new Windows license and installation kit.
Having said that there are some good tutorials at the web sites of the more popular Linux distributions.
The part about downloading is pretty straightforward. Burning the file that you downloaded onto a CD or DVD has only one trick; you have to burn the file as an image, NOT as a data file. This will allow your computer to boot the CD or DVD and run the Linux installer.
Let us know if you have any problems.