Well, if you must learn Linux, I take it you are having to learn it because you will come into contact with machines deployed in business environments? Then CentOS is exactly right IMHO. That's a rebranded Red Hat system. It's a bit boring as a desktop, so don't expect too much of it on the cool factor. It's a workhorse. It doesn't get impressive until you put it under heavy (and I mean HEAVY) loads
I don't think you need all 6 iso's by the way. Some of them have source code on them. That doesn't really offer functionality to you at this moment. I doubt you'd be compiling your own packages right after install. The day will come, i am sure, where you will be compiling, but first get the system up. Worry about source later.
Just burn the CD's at a slow pace. High speed burning can cause problems, although that depends on the hardware you've got. In Linux you run a md5sum against downloaded iso's and freshly burned CD's to make sure they are not corrupt. I'm sure Windows has something similar, but I've been away from Windows so long I wouldn't know how if my life depended on it
I don't think you want CentOS net-install. The way I read it, it's for installing from pre-mounted directories, or a (HTML|FTP|NFS) server within your own network, just like Slackware and the BSD's have. That is useful, but to advanced for someone so new to Linux. In order to learn what mounting is, you first have to let go of the idea of drives. And for that you need a working system (pssst. mounting filesystems is much easier than switching drives, once you understand the concept).
The command line is pretty intimidating at first. Threat it with respect. It's a foreign place for you, but rest assured it's not a hostile place

Keep notes. Learn how to use these commands: man, info, apropos
Set tasks for yourself. Do stuff from the command line. Did you know that you can switch from the GUI to the command line with a simple Ctrl+Alt+F(1-6)
Write little scripts for routine tasks. Define aliases for common flags or commands. Once you get used to it you'll find the shell isn't as intimidating as it seemed at first.