If you're on Broadband, you can download them. Overnight I usually do it.
There are two types of distribution normally - what is called a "Live CD" - this enables you to run it entirely from the CD without affacting anything in your system at all.
And a full CD which you can install.
My suggestions as to the best to try first - Xandros - Ubuntu or Kubuntu (different desktop software - Ubuntu is Gnome - Kubuntu is KDE). There are many other however, and it would be a good idea to trawl around the main Linux sites for more info.
If you want a plug and go operation much like Windows - then I would recommend Xandros as a first try. Xandros can install automatically - will probably find most of your hardware right away - partions your hard drive and sets up dual boot with Windows - and allows you access to all your data stored in Windows. Bascically it just works.