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Buy a distro online, or download the cdrom images from a distributions website or FTP site. If you do that, you must burn the images to a cdrom disk big enough to hold the files.
(Geek Note: You can mount the images as drives under Linux, but you need Linux, so...)
Distros usually come with two different bootloaders you can choose, LILO and GRUB. These will allow you to choose either Windows or Linux at bootup. I use LILO and I like it. Bootloaders load themselves into the bootblock of the boot hard drive and then display themselves at bootup.
If you decide to go with Linux and only have one hard drive, I suggest you get another hard drive, but not for the reasons that you may be expecting:
At install time, you must partition the drives for both Windows and Linux. Now, you can do this with one drive, but you take a performance and slight data security hit if you do. What I suggest is that during loading Linux, you partition the first drive with these partitions: /(Top partition), /usr, and /var. On the second drive, partition with /swap and /home. Leave a good bit of room on the second drive for WinderZ stuff. Later, you can move your Windows swap and system files(hive files) over to the second drive and give yourself some extra Windows room. By doing this, both Linux and Windows will run fast and be just that little safer in their daily activities.
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