Linux is a whole operating system, as well as a lot of user programs. To use Linux, you need to install a Linux Distribution, or "distro". There are numerous Linux distros, each of which has its own advantages and disadvantages. Here is a link to the Top 10 distros at distrowatch: http://distrowatch.com/dwres.php?resource=major
There are numerous ways to install Linux, but you should understand that it is actually an alternative to Windows, not a program that runs under Windows. Having said that, there is a way to install Ubuntu onto a Windows drive and run it under Windows. And to further overload you, you could install either VMWare or VirtualBox and run any of the Linux distros as a virtual machine under Windows.
But, to get back on track, what exactly do you want to do with Linux? Why do you want to install it? If it's because you've gotten tired of paying lots of money for buggy, poorly written, and virus-prone Windows applications, then Linux might just be what you're looking for as a replacement. If you're just cruising by and thought you'd check it out, then try the Ubuntu that installs on Windows. You might even start with that one, and then do a reinstall later if/when you decide you want to make the switch. But, if you don't have any real reason to use Linux and no particular motivation to make it a success, then you might want to reconsider whether you want to bother.