Actually, if you use certain distro's the install disc comes with a partition manager that can resize your windows partition to make a new one for Linux. This is a pretty sweet deal. It is pretty safe in terms of data loss. Unless you overstep your data, you'll be safe. My advice is to defragment your windows partition before even attempting to install inux along side it.
Next you'll want to download a distro and burn the .iso file to a blank cd. You will need ot actually burn an image and not just copy the file onto the cd. If you do a search online there are some free programs to do that, but most likely your cd burner will come with one that is capable of doing it.
For a beginner there are a few distro's that are really neat to try. I prefer Debian based distro's, mostly because they have the largest amount of free and stable software in the open source community. There are several good ones to try, even if you do not want to partition your drive.
The first would be SimplyMepis. It runs from the cd and allows you install from the os while it is running. You do not need to and you can simply use it from the cd. The only downside is that you cannot save anything to your hard drive and any settings you change will be lost on reboot.
Another good one for speed and user-friendliness is Yoper. Yoper is very fast, and while rpm based, it has its own repository of custom rpms. (Rpm refers to the package system developed by Redhat. There are many that use this system such as Fedora, Redhat and Mandriva- formerly Mandrake)
This distro is not available on al ive CD but does allow you to resize your windows partition and not lose any data to make a spot for Yoper. It installs in about 5 minutes too.... making it the fastest install for any distro.
A nice debian based distro is Ubuntu. Ubuntu is most similar to Mac OSX. It is very easy to use and has a great forum of dedicated people to help. The installer is text based and may scare a new user a little, so you may want to read a little on their page on how to install before giving it a try.
And lastly, there is Xandros. Xandros is a commercial distro, but has an Open Circulation Edition that is free to download through bittorrent. Or, you can purchase a regular download for $10. This distro is bases on debian, but also has its own repository of software. Software can be installed through Xandros Networks with the click of a mouse. The distro is very easy to use and keep up to date.
There you go. If you have any more questions, feel free to ask.