You'll need the setup discs for a start. You can download your preferred distribution of Linux in the form of one or more ISO images - files that contain the filesystem you burn onto a CD or DVD using an image burning application, like ImgBurn - Nero and the others can do it, but ImgBurn is quite simple for that task. You can find some images to download by clicking the "Download Linux" link at the Main Menu on the right - and you might want to visit sites like DistroWatch that can tell you about what the different distributions are and how they differ (what seems good for you).
After you have the images, you have burned them onto discs using some app (and checked that the discs now contain directories and files, not just the single image file), you reboot your computer with the first disc of the set (or the only disc) in drive, and boot from that disc. The installer should start and guide you trough the setup, after which you reboot and are able to select your new operating system. For dual-booting (two operating systems on the same machine) you'll get a list of which one to boot. Note: before going into that, prepare some free space onto your harddisk where you will install the new operating system. You don't need to create any partitions, and the free space does not need to be made into a primary partition - so just make sure there is some free/unallocated/unpartitioned space on the disk before rebooting. You'll need some gigabytes for a full install of a modern-day distribution, so if you can, anything from 10 to 100 gigabytes is good. The installation program guides you trough making the needed partitions into the free space, so don't worry about that. You can create unallocated space by resizing your existing partition(s), probably the Windows partition manager can do that, or you can use a 3rd party partitioning software. Some distributions setup discs even contain a program to do that there, prior to starting the setup itself - an example would be Ubuntu Desktop disc, which is a combined live-cd (lets you run the OS off the cd without installing it) and a setup disc (there's a desktop icon you can click to start installing the OS).
More information probably at the website of the distribution you choose.