Wubi is probably the easiest way for Windows users to try out Linux. With this method the process of installing a Linux system as a dual-boot setup is just like installing any Windows application, namely running an executable.

By clicking on the "Download Now" button on the page http://wubi-installer.org you can download the executable "Wubi-8.04.exe". After downloading is complete you can double click this executable to start the installation process of Ubuntu Linux version 8.04 ("Hardy Heron").

Unfortunately, downloading the Linux installation file is rather slow and can take several hours. However, completing the installation process is very simple. Just follow the few instructions on the screen. You can choose one of several other versions of Ubuntu, such as Kubuntu, or Edubuntu. Kubuntu is probably the version Windows users would be most comfortable with. When the installation is complete, you will have a choice between your Windows operating system and Ubuntu when you re-start your computer (use the arrow keys to select).

The Wubi installation will give you a real Linux system, not an emulation. However, the Linux file system is implemented as one large file instead of separate partitions. That is why it may run somewhat slower than a regular installation, especially if your hard disk is severely fragmented. But it also avoids the hassles and risks associated with changing your hard disk partitions.

For more information see here.