If you want to play around with Linux without much risk, you could download Knoppix and burn it to a CD. Then you can boot your computer with the CD and you have a self-contained Linux. You can then mount your hard drive and access it in Linux if you want.
http://www.knopper.net/knoppix/index-en.…
You could also download either Microsoft Virtual PC or VMWare Server, create a new machine, and install Linux, like Ubuntu, into that and use it there. You won't be able to access your Windows files that way, though.
http://www.vmware.com/products/server/
http://www.microsoft.com/windows/product…
Actually installing Linux on a computer that you have already been using is tricky. If you really don't care about what's on your computer -- files, etc -- then you can just get a Linux CD, then format your whole hard disk and install Linux from the CD. Similarly to Knoppix, you would burn the Ubuntu installer to CD, and then use that CD to install.
http://www.ubuntu.com/getubuntu/download
The only reason ppl recommend Ubuntu over other versions of Linux is that Ubuntu is designed for people who are new to Linux. There's lots of others, and they mainly differ in what software they come with, what default appearance and interface they have, etc.
If there are files on your XP computer that you want to keep, you should back them up somewhere, like to a USB drive or external hard drive or online, wherever. You won't be able to use windows software on Linux; but there are Linux alternatives to most of them (though usually not games).
If yuo want to keep both XP and Linux on one computer, this gets trickier... You'll still have to reformat the hard disk, and back up your files. Then you'll have to learn to make multiple partitions on the hard disk, and then install XP into one (using, say, your XP recovery disc) and Linux into the other. In that scenario yuo can use your Windows files under Linux (but not the other way around) by mounting the XP partition.
This guide is for that exact scenario:
http://www.geocities.com/epark/linux/gru…