If you've never used linux before, then you may not want to jump the gun and install it right away. Instead, you might want to try a Live-CD based distro (which means you don't have to partition your hard disks, set up new filesystems, etc.) such as Knoppix or Suse 9.0 LiveCD. They make no changes to your system and are easy to use.
Download Knoppix hereDownload Suse here (FTP link halfway down the page)After you've got your feet wet, try installing a real linux distro using a PC emulator such as VirtualPC or VMWare. There, you can mess around with boot programs like LILO without worrying about messing up your MBR and such. If you have previous experience partitioning and installing Operating Systems in general, then I suggest starting out with Mandrake Linux, as I find it the easiest distro to install and use.
If you are really having trouble grasping linux, and don't care too much for the internal workings of the linux operating system, you may want to purchase Lindows (name soon to be pending). It is the most basic you can get, and by far is the easiest for beginners.
Purchase it here.
Other good distros are:
XandrosRedhatSuseGood luck with your Linux attempts.