Each hard drive you have can have logical drives partioned on it .In windows a single drive can be partitioned to have drives c,d,e, and f , in linux if you have a single drive in your machine the drive would be hda the partitions would be hda1, hda2 ect... I have a single drive in my machine C: for windows D: for Win2k , hda6 for linux, and hda7 for linux swap . If I had a second hard drive installed in linux it would be hdb, and if it had olny one partition it would be hdb1
Most linux distributions can be installed by setting your computer up to boot from the cdrom drive, if you don't want to do that there should be instructions on the installation cd to make a boot floppy to start the installation with.
Transgaming's wineX is what you want for playing windows games in linux.