Knoppix or Run on CD won't work unless you are using FAT, FAT16 or FAT32 on your C:\ drive, not NTFS. WinLinux will install on any drive as long as it is a FAT file system. But the WinLinux installer is looking for a Win95/98/ME registry to "detect" hardware. I havent tried WinLinux 2003 to see what it was about but WinLinux 2001 wasnt as bad as some make it out to be. It is easier to get accustomed to it if the GUI works to start with. It is Linux, it does have many features present, it is stable, but DON'T think that because it is Linux that all Linuxes are going to be the same as it is.
If you dont have a second computer to install Linux on you might consider adding a second hard drive to your computer and installing Linux to the "D:\" drive. This drive would be recognized as /dev/hdb. Any partitions you make on that drive will be listed as /dev/hdb1, /dev/hdb2, /dev/hdb3 ..... you can see the pattern developing.
It kind of makes a difference what type of filesystem you are currently using on the drive you intend to install it on. Phat Linux, Loop Linux and tinyX are a few other possibilties to try out. As long as you are using a Fat filesystem, I dont think that the first 2 use the Windows registry to detect the hardware. I know tinyX doesnt.