Your gonna want a couple things.
You'll need a partitioning software and download Fedora Core 2 (or 3 if it's at final release I need to check that)
For Partitioning I Recommend Partition Magic but last time I checked it was $70 (what I shelled out) so shop around maybe you can find one for cheaper. Set out however much space you want for your linux partition (at least 6 Gigabytes for Fedora Core IMHO).
Next pop CD 1 into your drive and reboot. Follow the installation instructions until you get to the boot loader setup. The "default" OS will be windows and fedora core is kind of obvious.
The hardest part is partitioning once you have some space set aside for Linux on your hard drive start up Fedora Core and follow the instructions. If you want to feel more comfortable look up the anaconda instructions on the fedora core or red hat websites. either will guide you through the set up.
If you don't want to use Fedora Core you'll have to rely on someone else because the only other linux distro i run is Vector linux and that is on a laptop by itself.
PS the Fedora Core website is http://fedora.redhat.com