arouth,
If you'd like to play around with Linux before you actually install it, it's possible to use what's called a "Live" CD (or DVD). Download the distro (or order the CD), burn it to disc, put the CD in your Windows computer, set your BIOS to boot from your CD player, and let'er go. There are several distros out there, but Knoppix (see the link below) may be the best known Live CD available. And best of all, it's FREE, and it comes with a ton of applications.
By the way, unless you have a third-party partition utility (like Partition Magic) to allow you to non-destructively create a space for a Linux installation, you'll have to wipe your hard drive (or install a second one), create the partitions, re-install Windows and then install Linux (or is it the other way around? I can't remember - there is a specific order).
Good luck, and have fun!