You download the iso. I reccomend FC6, but others may say that Ubuntu is better. Avoid Gentoo at all costs. So after downloading the iso (which means, it's data that's formatted to be written to a disk. Also called a disk image), or usually isos, unless you're using a dvd, you should write it/them to the disks. Put the first one in your drive amd then restart your computer. Make sure that your BIOS is all set to read from the disk first, and you should be home free. The more user friendly distros like Ubuntu and Fedora will have a nice easy GUI installation, so you don't need to use the bash if you don't want to. However, if you want to run both on the computer, have two computers next to eachother, and get help for installing it from the bash without destroying the partition and overwriting Windows.

NOTE: Unless you are experienced with partitions, this will overwrite your Windows files or Macos files, probably.

NOTE: Virtual Machines don't support 3d, except VMware, which is a bitch to insatall, and even more of a bitch to work with.

NOTE: Why the hell would you work with Linux in a virtual machine? That ruins the whole point of Linux being the most secure OS.