Most live CD's are pretty easy to install. I am familiar with SimplyMepis and PClinuxOS. Once you reach a functional desktop, and you have determined that all of your hardware is supported and correctly configured, they have an icon on the desktop to start the HD installation. Only a handful of mouseclicks are involved after that, and the default selections suggested by the distribution are normally fine.
You are correct, if you are going to have a dual-boot computer, install windows first, then linux. Linux recognizes the fat32 and ntfs filesystems, but windows does not recognize linux partititons, and will over-write them.
It is possible to install linux distributions within windows partitions, if you want to do that to get started
If you have a broadband connection, you can also install many different linux distributions using unetbootin
I would also suggest that you post to help forums specific to the distribution you are attempting to install. Most of them are quite friendly and helpful. Just do a google search.