it's pretty easy to download the ISO file for Linux distros and then burn the file on to a CD - look for ones that say "Live cd"
That means you can load it at boot up - it will run from the CD or DVD so you can try it out.- then there's an install link right on the desktop if you want to install it.
my favs so far- Ubuntu, Mepis, PCLinuxOS - also a Puppy Linux, DSL (damn small Linux)
Just Google Linux distros and do a bit of reading about the different ones
- or you can buy a linux magazine that has live CD/DVDs in them
-or even got to the library and check out a book than has a Cd/DVD inside
If you have nothing for a OS now - simple and freeeee