Well, if you don't want to mess around with the hard drive, you can try a Live CD. A live CD simply has the OS running off the CD rather than the hard drive.

If you do install Linux, you'll need a separate partition or hard drive.
Following that, you'd just install the particular distro (<strike>Mandrake</strike>Mandriva, SuSe, Ubuntu, etc.) on said partition/drive. It should have a bootloader that allows you to boot between Linux and Windows.