Well, you can download ISO images of your distro of choice from the website concerned.
Thereafter you can burn this to DVD and reboot/install your machine. Take into account that you need to be careful to backup your existing data or you'll lose it.
An alternative is to use a Live CD (most of the bigger distro's have this - Ubuntu, Fedora etc) which doesn't re-install your machine; but allows you to boot up the OS via the DVD. Again, you can get the relevant ISO image from the distro's website.