This is probably the most common question, trying to dual boot Linux and windoze.
You need to read around the topic, there are How-to's available at http://www.linuxdoc.org
which you will need to read.
To start you off though you need to make space on your existing HD or buy another. Linux cannot be installed on windows partitions (i.e c:,d: etc...). Its needs its own space. This may be tricky, I would either use something like Mandrake for your first distro (it contains a good partitioning program in the install), which distribution are you looking to use?
During the install you will need to make sure that LILO (LInux LOader) is installed to the MBR (Master Boot Record) or to a floppy disk. LILO will be able to load both Linux and Windoze.
This is only a brief overview of what you need to know, the How-to's are much better and full of more info than what I know!