get a program like Partition magic, install it and the partition your hard drive. This way you will have a free partition on your hard drive on which to install linux and you won't damage your windows install (although, it would be a blessing to you if you did!).
Once oyu have partitioned it, choose your favourite distro (http://www.linux.org/dist/index.html
), download it, burn it to CD, reboot and start installing Linux.
Which distro? Well, lots of people suggestion Mandrake for beginners. I use gentoo and to be perfectly honest, I would recommend this for a beginner too. As long as you follow the SUPERB documentation given by the Gentoo developers (http://www.gentoo.org/doc/en/handbook/index.xml
) then your install will work just fine!
Fedora is also quite popular with beginers (I started off on Red Hat which is more or less the same AFAIK).
What if something goes wrong? Don't panic! Search Google a couple of time, search LXQ and, if you don't find your answer, come back here, post a question and someone will try and help you.
Good luck and welcome to Linux...it rules!