Yes it can be done. You will have to do some partioning. There are programs like Partition Magic available that can resize the current partition. My guess would you have one primary partition using the entire disk. With PQ magic you can make the current primary partition smaller. With a 40gig disk you should have enough space. After the primary is smaller with your data intact, insert the linux installation CD and start the install. Most distros allow you to create partitions, and format them during install. Then you will continue the installation.
Some things to do first.
1. Check out your hardware for compatibility with linux. Most distros have web sites, and offer lists of tested hardware. My early difficulties happened because I didn't take my own advice. The good news is forums like this one will helo you out, and eventually you will know much more about your system than you would have ever learned using windoze.
2. Think about booting two systems. Linux offers two boot loaders, Lilo and Grub. Search this forum, you will find lots of information and option's on which is best. I use Lilo. It has worked for me without error. You will install the boot loader during the Linux installation.
3. Using a program like PQ magic has its risks. Backup any data you consider critical first. I have been a PQ magic user for a long time. I have used it successfully on many occasions.
Hope this helps. Post back if you need more information to get started.