you can't install Linux as a program within Win XP as it is a separate o/s. although it is possible to run an evaluation version from your cd drive.
if you want to have a try with linux you are best to buy a packaged version - something like Suse (£20 from PC World) - as it will include both the set up discs and a very good manual.
you can then install linux on your p/c and once it is set up when you start your p/c you'll have the option of either running win xp or linux. if you don't like linux - no problem - you can simply un-install it without affecting your win xp settings.
post back if you need any further info.