Do yourself a favor and do not download Linux. Buy an installation CD instead. Linux can be downloaded completely from the Internet, but it is a very large and sophisticated operating system. The download may take hours or days of download time, and you may encounter problems and frustrations, e.g., due to errors in the downloaded files.
If you do have a speedy Internet connection (definitely not a 56k-modem, but perhaps cable modem) and you are not a complete newbie, a Linux download may be an option to you after all. Try http://www.linuxiso.org/ for ready-to-burn CD images (the ISO format) of your selected Linux distribution. To avoid problems, check the downloaded ISO image prior to burning using the MD5 sum using (on Linux):
This command will take some time (a few minutes?) to complete a check of a typical (640 kByte) CD image. (MS Windows does not contain a utility to check the md5sum, but such a utility can be downloaded for free.)
The utility md5 generates a 32-character string which depends on the file contents. If even one bit in the file has changed, the string is going to be different. Once the above command generates that signature string (the "md5 sum"), compare this string with that listed on the web page from which you downloaded the file. Please note that data can be corrupted during large downloads, so checking the sum is really a good idea else you risk problems with installation.[an error occurred while processing this directive]