With Wubi you can install Linux in a working Windows System. If there's a moment when you don't like Linux anymore, you haven't to delete the whole partition, you can uninstall Linux like a normal Windows application.
To install Wubi, you have to put your Linux CD into your drive and you have to press "Install into Windows". Now you were asked about the username and password and how many disk space Linux is going to get.
If this is finished, all necessary files were copied from the CD on your computer and you have to reboot.
Now you get a new boot screen. Either on 30 secs windows boots from alone or you can change to Linux.
For me this is a very good posibility to use Linux, because I can't install Linux on a second partition.
You can download "Wubi" here: