you need a new partition to store your linux os. partition your hard drive and install linux to the new partition
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Well, depends what you need it for. If you need to try out some things and occassionally run some programs install Microsoft VirtualPC - great solution as for me. It completely emulates a computer with its own bios, separated memory, virtual hard drive etc. So you can install whatever you want there.
It might not be good for you if you need more performance or need to run *nix on a regular basis for serious applications.
BTW, there are some other programs like MVPC.