You can install both Windows and Linux on your PC. You can also install Linux on a VMware virtual machine.
Prior to installing Linux, you need to be aware of its hardware requirements and limitations. For example, LinuxPPC (Linux on Power PC system) does not run on an ordinary x86 based PCs and some Mac computers.
For beginners, it is a good idea to use Linux distributions containing optimized kernels for generic computer users. You can start with a wide-spread distribution like Ubuntu, Red Hat (Fedora), SuSE, Debian, Gentoo, Mandriva, Xandros, Linspire, which are by far the most popular Linux systems.
Installing Linux is basically following the install screens and answering the questions that are asked there.