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You might want to consider something easier to begin with like red hat or preferably mandrake. Slackware is up with some of the harder to use distros. To install something from source,
type 'su' to get root permission
uncompress the file
type ./configure, after that 'make', and then 'make install'
1. Yes, it is not that difficult to change distro's but you first should you run mandrake or redhat and get a feel of how filesystems, command lines, and the overall usage of linux are. Then the change to another distro wouldn't be so difficult.
2. Yes, you can burn .iso on linux. In fact, when you download (say redhat) it comes as an iso already.
check out Linuxiso.org. What I would recommend to make changing a whole lot easier is very simple. If you have room on your drive make your root (/) partition smaller and make a few gig partition mounted on /home. So Mandrake, and this should work with all others, sees the /home and go 'well, I don't have to make a home in the / directory'. So this way every time you change distros the version should just use that /home partition and all of your personell files will be there. But maybe you should try mandrake out normally first.