for windows installs, it's either way, if you put the disk in while booted, you may tend to run into more problems, but you have more options like: System Acceptance Testing, etc...
Although, if you put it in at boot (before OS loading), you have a less chance of running into problems (freezing).
With linux though, you should just put the disk in before boot. If you put it in while the OS is started, it will just restart your comp and install it.