Texrat
Go here http://www.knoppix.org/
and download the live CD and burn it to a blank CD then boot off that CD. It will not touch your windows instalation at all. When you remove the cd and re-boot, you'll be back to windows.

http://www.vmware.com/products/player/

But look, all this took me was typing "v-m-w-a-r-e--p-l-a-y-e-r" in Google's search box and click on the first available entry. You're not racking up a lot of credit points by asking the obvious.

Go to the site mentioned, scroll down, click "download vmware player", click "browser appliance", follow instructions. It might not be a bad idea to read the manual in the right sidebar either.

You'll end up with a virtual Linux computer running inside Windows, which you can use to download and run the necessary components of the Linux installer.

It's also a nice and easy starting point to pick up on 15 years of UN*Xolution.