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What version do you have? If it's Red Hat 9.0 I recommend you get one of the Fedora Core Distros. The newest version is Fedora Core 3 Which was released just this week. It's Red Hat's Community Project. If it's Red Hat Enterprise 4 Beta 2 then yes you have the Latest Red Hat Distro.
As for installing i need more info. What have you done so far? Do you plan on duel booting with windows or is this a dedicated Linux Machine? What are your system specs (to make sure Red Hat will install)? As much information as you can give us will help.
Ok, lets get you started by asking a question, the people who frequent these forums will need to know what exactly you want to do as far as setup. I.E.- are you wanting a computer that will "dual boot" with windows and linux on it or are you wanting to set up a computer that is solely linux. The installation will be a bit different for each avenue. Also, what redhat distribution did you get? RedHat 9, RHAS3, etc. It would help to know that as well.
BTW, welcome to the linux community, glad to have ya.
Ok, Shrike is RedHat 9, It was the latest version before RedHat moved to its enterprise family, It is now unsupported but that doesn't mean you can't use it still. It just means that it will be harder to upgrade/update. It's your decision whether you want to use RH9 or download something more recent, such as Fedora Core 3 or Mandrake 10. Nonetheless, what we need to know is do you have upartitioned space on your existing hard drive for the install or possibly an extra hard drive that you can use to put linux on. If you do already have unpartitioned space or an extra blank harddrive then it is a matter of popping CD1 into your drive and rebooting. This will bring up the redhat installation GUI, most likely you are going to want a workstation install as a newbie to linux, and you are going to want to install either KDE, Gnome or both, these are what will give you a graphical desktop in linux. You will also need to partition your drive, personally I would suggest using the diskdruid option for this. and then when in diskdruid take care not to delete your windows partition, and in the freespace create a partition with the mount point /boot that is approximately 150megs, and the filesystem type should be ext3, also you will need a swap partition, the general rule that I use for swap is at least 2x the amount of ram in your computer. i.e.- if you have 512MB RAM, make your swap partition 1024 MB at least, the filesystem type will be swap and there will not be a mount point for it. Next, just to keep it simple, create a partition that has the mountpoint / (thats just a forward slash) and file system type ext3 that takes up the rest of the free space. This is your root filesystem, similar to C:\ in windows.
NOTE: There are many different ways to partition linux, I personally use about 5 different partitions but Im just trying to keep this really simple. As you learn about linux you will discover that there are many different partitioning schemes that will work and perhaps be more effective.
Ok, so now you have your partitions and your workstation install selected, the rest is more or less self explanatory, so run through the install and good luck. I would suggest taking a look at the individule package selection area of the install as you can select some other goodies to put in as well. But you can always add them later too, after the install.
Ok, have fun, and dont delete your windows partitions.