Hi trilv72:
Welcome to Linux Questions!
Do the suggested reading that acid_kewpie and kooru have posted for you so you will have the knowledge.
After you decide what distribution(Operating System)that you want to install on your linux box; just go to the site, and download the correct version of the distribution for your computer's architecture-(32bit OR 64bit)
Than burn that image to a DVD/CD or put on a USB memory stick.