If you would like to run Linux as an application under Windows then the Wubi installer for Ubuntu Linux may be for you.
If you want to have a Linux system that has nothing at all to do with Windows then the process is generally like this.
-In Windows download a Linux bootable live CD file.
-In Windows burn the Linux live CD file onto a CD. Make sure that you tell your CD burning software to burn the file as a bootable image, NOT AS A REGULAR DATA CD. If you burn the Linux file onto the CD as a regular data disk then it will not boot.
I have found that it is better to use a CD-R disk, not a CD-RW disk. Some computers, notably Dell computers, won't boot from a Linux live CD that was burned onto a CD-RW disk.
-Restart your computer. Make sure that the BIOS is set to boot from the CD drive before the hard disk drive. The bootable live Linux CD will load and ask you what you want to do. You can run Linux from the CD or you can install Linux. You may want to run Linux from the live CD just to see if you like it.
-When you decide to install Linux in its own partition on your disk drive then boot the live CD and choose to install Linux.
-Some live Linux CDs have good installers while others have bad installers. This is a tough problem if this is the first time that you are installing Linux, particularly if you want to keep Windows.
Write back to say if you need more information.