Are you talking about Debian, which is a version of Linux?
And are you asking about the installation?
If you have booted from your Debian CD then you are running Linux, not Windows. If you tell it to format, it will probably destroy the existing contents of your hard disk.
If you want to be able to dual boot Windows and Debian linux then you will have to create partitions for Debian in existing empty space on your hard disk.
If you are not sure what you are doing, go back to the instructions, or the website you found the iso on, or the Debian website and RTFM (READ THE F.... MANUAL)