if you're new, get a live CD that has a graphical partitioning tool tool like gparted to partition your drive, this will make setting up partitions much easier.
Then, install using a GUI installation tool like the ones that come with: Fedora, Mint, Ubuntu, PClinuxOS, and other distributions (Mint is probably the easiest for brand new users coming over to linux, but all those listed should be okay as long as you stick with a stable release).
during installation you'll be asked where to install the linux bootloader (most likely grub), install it to the mbr of your dual-booted drive and you should be able to use it to boot to windows or to your new linux partition.
As always, make a backup before you do this, because if you make a mistake you run the risk of losing some or all of your data.
Edit: I was assuming a single hard drive, by the way, so if you have multiple hdd there may be a bit more to watch out for.
Last edited by Jenni; 10-13-2011 at 08:33 PM.