From my experience you can't install most linux OSs from windows...and if you do manage to somehow get it started, no doubt it will be a bit unstable since the install sources are meant for being run straight from a disk. As forementioned by trickykid, I'd get another distro...if you're new to linux Mandrake or Redhat is suggested, though installing RH can sometimes be time-consuming. I'd also burn the .iso files to a disk (use nero or easy cd creator, it should automatically unzip and unpackage the .iso correctly).
Once you get the cd's burned correctly, change your bios setting to boot from a cd at startup, instead of the prestet (usually floppy or the hard drive(s)). You'll have to put in your first cd, of course, and autorun should pick it up from there. If the system spits an error about a non-system disk back at you several times in a row, your disk isn't burned correctly.
Hope this helps!