Check out www.ubuntu.com

https://shipit.ubuntu.com/

Shipit are great but they only do Ubuntu (probably the 'best' linux tho ;) ). Also it takes about 2 months to get the Cd delivered that way. Mostly people download an iso of the linux distro (version of linux, Ubuntu is one amongst many) & then use that to make their own Cd. This is usually faster and much more fun ;) I would order an official cd or 2 from shipit and then make my own too. It doesn't hurt to have a lot of these Cds in case a friend wants one too ;)

So here goes!!
Perhaps try downloading Ubuntu from
http://www.ubuntu.com/getubuntu/download
then make a cd of it by double-clicking on the iso file, this guide might help
https://help.ubuntu.com/community/BurningIsoHowto
i tend to find the cheapest "write once" cds that you can only get in blocks of 10 or more are better for this than more expensive cds and dvds tend to be really rubbish for this. Anyway once you have the cd then boot up from it to the menu with "Try Ubuntu without changes to this machine", if you don't get that menu then this guide might help
https://help.ubuntu.com/community/BootFromCD
Choosing the "Try Ubuntu ... " option should get you to a working desktop which we call a "LiveCd session", if it works ;) Most versions of linux have this feature although they don't all have such a fancy menu. Ubuntu's LiveCd has firefox on the top taskbar and should have worked out your internet connection so having got a LiveCd session working you should be able to surf around and check that Ubuntu is going to work easily on the machine. Once you've done that then a dual-boot is better than wiping off an existing working OS, even if that is Windows ;)
https://help.ubuntu.com/community/WindowsDualBoot

It's much the same for other distros but it might be worth hunting around in
http://distrowatch.com

Apart from Ubuntu my favourite ones are Wolvix (i really like the older Hunter 1.1.0)
http://distrowatch.com/table.php?distribution=wolvix
or sliTaz, mostly french, a tiny distro of only 30Mb
http://distrowatch.com/table.php?distribution=slitaz
or Kongoni, mostly african
http://distrowatch.com/table.php?distribution=kongoni
and sometimes enjoy the challenges of the friendly bunch at TinyCore
http://distrowatch.com/table.php?distribution=tinycore
I think TinyCore is even tinier than sliTaz but needs a bit more building up which can be fun :) It's very fast.

Anyway, good luck navigating around some of those links ;)
Regards from
Tom :)