If you are new to Linux then start with the live cd's. This will give you a chance to see what the distro is like without installing anything on your hard drive. Things will run a bit slower from the cd and you won't be able to make any permanant changes. Go to DistroWatch at
DistroWatch.com: Put the fun back into computing. Use Linux, BSD. for downloadable FREE iso files for almost all the versions of Linux. I'm not sure which program you use in Windows to burn an iso file to disk, Google it. Ubuntu is a very good, easy to install distro with a huge selection of applications, but some people prefer a version with a bit more challenge and some prefer one more like Windows. Experiment, it doesn't cost you anything except time.