I am a first time user of Linux. Although I know some commands of UNIX. I get the above error while installing Linux (with all the 3 different sets of Linux: Fedora Linux from IBM CD, Fedora CD from book Linux Bible and PCQuest Linux 2004)

Machine Configuration
Assembled P4 1.7 GHz speed, 512 RAM, 40 GB HDD, Sony Rewritable CDROM Drive. Windows 2000 Server Service Pack 3 in C Drive. Sufficient free space avvailable in all the drives of Hard Disks. I have E Drive (22.5 GB) Unformated in which I wish to install Linux.

When I put Linux CD No. 1 in CDROM Drive and boot the machine, a Linux Installation screen appears telling me to press ENTER key to install Linux. After ENTERing, it asks me if I want to Test the media or not. I did test the media. Then press Continue to continue the installation process. After this for almost 2 hours, there is almost no activity on the (blue) screen. After this an error appears "Error 2 Reading Header: cpio error: Bad magic". This happens with 3 sets of Linux CD from different sources.
I think the problem may be with the machine setup. But I am not able to know. Please help.

Why would you rty to test media that is unformatted, and why would you install any OS to an unformatted drive.

Format the drive which you are referring to and then try to check media or install.

Boot from cd, get to shell, use fdisk to create a partition on the drive, use mke2fs to create an ext3 filesystem and then continue with your media check and installing.