When you want to install Linux on a machine already running Windows, take the opportunity to check the hardware settings for various parts of the system using print-outs from programs like msinfo32.exe. Then find a local Linux User Group and read the information available on the wide range of Linux related web sites. If you haven't installed Linux before, I'd recommend purchasing a complete 'distro' from Mandrake, RedHat or SuSE so that you get a set of manuals (and make sure you read the installation manual).
You can choose to dump Windows entirely or run the two operating systems side-by-side as a dual-boot machine. Note that a dual-boot installation of Windows NT can cause problems depending on how the NT system is configured. For more information, ask your local Linux User Group. Other versions of Windows will live happily alongside Linux as long as you defragment the drive before starting the installation. Linux will then help you partition your hard drive - designate an area of your hard disc that Linux can use. Allow at least 1Gb for the Linux operating system and at least another 500Mb - 1Gb for your own usage. Once installed, Linux will mount the Windows partition and make it available to you to use from within Linux. This means you won't have to duplicate your existing data, it also means that the free space on the Windows partition is still available under Linux, in addition to the free space on the Linux partition. Windows is none the wiser and simply assumes that the hard disc has magically shrunk. Windows cannot access the Linux partition at all. On a larger disc (over 4Gb), allow between 2 - 5 Gb for Linux to allow for growth as you get more experienced with Linux.
Linux is a completely free operating system - it is possible to download the entire operating system as images to write to CD-R discs - but installing any operating system is not to be done lightly. Installation and reference manuals are invaluable (and usually very well written) aids and worth paying for, especially for the first time. If you are confident in partitioning your hard drive and you have full details of all your hardware, you don't have to spend days online to get the free download version as 3 x 600MB files. In the UK, LinuxEmporium will provide pre-written CD's of common distributions for a nominal charge to cover the CD-R's and postage. In other areas, Linux User Groups may have copies of distros that you can install from. Remember that copying a Linux CD is not a problem. There is no product key, no activation protocol, no restriction on how many machines you install onto. One set of CD's (whether copied or purchased) can be used to legitimately install Linux on one or hundreds of machines. This is a major saving in licence costs compared to a proprietary, closed source, OS.
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