Welcome to LQ!
As yancek suggested that there are various ways to install linux, and as jefro suggested you to take the backup of your data, also you must first try out some live CDs of linux which may help you to give better idea about linux OSes.
Well, if you want to learn linux then I will suggest you to completely move on to linux and use it, explore it and you will enjoy.
You can first search on google for installing linux in various methods. It will give you better idea of installing linux.
So, give it a try and if you face any problem then you can put up your question here.