You should be able to install Linux on a seperate partition of your Hard Drive.
This way, you won't get rid of Windows, or any of your files. Another good way to do this is have seperate hard drives with different operating systems. Then you can access files on both drives, but run either operating system when you boot up.
I've deleted this link already, see that it's not there in the future, or face the consequences!, get back to me ASAP