Yes it's possible to run windows xp and linux on the same computer by dual booting, you don't need aditional software for it, either grub or lilo bootloader will make sure you can also boot you're windows partition.
You can download linux for free, no need to buy unless you'd like to have some support for a few months from the creators of the distribution. If you're new to linux there are some easy to start distrobutions.
You could take a look at either SuSe, Mandriva or Fedora core. These 3 are my opinion on probably 3 of the easiest distrobutions to start with.. my opinion though.
Take a look @ distrowatch on various distro's:
KDE is availeble on all 3 of the above mentioned distro's.