People speak very highly of Ubuntu Linux
. It's said it's very user friendly, and great for a first time user. Could be just what you're looking for.
You can download Linux from basically anywhere - you'll find each distro has several download mirrors to choose from.
You'll be downloading an ISO file (CD image) - to burn that to CD, use a program like ISO Recorder v2
, which will burn the ISO onto a CD for you, so that it will be detected by your PC on startup provided that you've got the CD drive at the top of your boot order in BIOS.
Hope that helps you, any further questions, just ask.