VMWare is some pretty awesome software. Basically, it allows you to create virtual machines that run your OS of choice inside another OS. For instance, on a Windows XP machine I run a VMWare virtual instance of Ubuntu, allowing me to basically have two operating systems running at the same time on the same machine.

Now VMWare has released for free the VMware Player, which allows you to run OS images that others have created. to run linux under windows, Download the free VMWare Player, then download a pre-created image of Linux. (live cd)