Ok, first of all You'll need somewhere to put the Linux OS. I partitioned my HDD in Vista on my laptop, so you'll either have to do something like that; getting another HDD for your desktop computer works as well.
Once you have space set up, download a live CD of the linux distribution you want to download (theyre normally around 600 to 700 MB so they can fit on one CD). Once you've downloaded the live CD, go ahead and burn it using a CD burner. Shut down the computer and restart it booting from the CD. You should see a new desktop and layout of the version of Linux you want.
The CD SHOULD appear on the desktop (at least it did with mine, i used Fedora core 7) along with an option to save files to disk (or something like that). Double click this icon to activate it, the follow the onscreen instructions. Make sure that you save the OS on the designated space (HDD partition or otherwise).
Finally all you need is an internet connection to look for any updates and drivers etc. Thats all that I can recommend for you :3
Oh, and if you're trying to install Linux on a Dell computer, don't bother. I've been trying for three months straight with no avail. I heard dell is supposed to have a file to prevent you from installing other OS's on it. if you somehow DO manage to get Linux on a Dell, please let me know (my dell doesn't allow me).
So yea, good luck and happy learning