Portable Ubuntu is a Windows only freee application that run the entire Linux operating system as a Windows application. Amazingly, this will also fit on a USB drive.
Portable Ubuntu is obviously built from the hugley popluar Ubuntu distribution and will run seamlessly on your desktop. Some of the more important features are that it is persistant. All your changes will stick with you when you log off. Another great feature is that it will work with your windows folders and files.
Download the latest package from Portable Ubuntu package. (about 438MB as of this writing), then double-click to unpack it to a folder. On Vista, you need to run from a command prompt with administrator privilages.
Once its done, you will have a menu bar at the top and you can then start using Ubuntu. This is a great way way to learn linux while preserving your Windows instalaltion.