My preferred CD Writer program is DeepBurner, It free and they do a protable version that exectutes without being installed so can be put on a flash drive and used where ever you have access to a USB port. I works just fine off the hard disk too.
Yeah, and make sure you select the burn image file option as BillytheImpaler says. Just be careful that with deepburner the windows don't size properly so some options are hidden off the bottom of the screen until you resize it.
Another option for you is too run VMware or virtual box and install Linux on top of Windows so it runs like a program. Just be aware that you won't have any 3D stuff so Compiz and AWN are no no. Although I wouldn't recommend AWN until you are more used to Linux anyway, but compiz is a cool and simple to use under a Native install. If you do go down the Virtual route though just be aware of the system requirements, your 1GB ram and single core CPU should be OK if you are running XP, Vista even the basic version chugs a bit on dual core setup with more RAM.
If you have a spare Hard Drive lying around, put that in and install your new OS on that drive. This keeps you windows files safe and also means that you can change the boot order in the bios as you see fit.
With my set up my Ubuntu drive boots first and offers either Ubuntu or Windows, but when my Dad stayed at my house when I went away I switched too the Windows drive which boots into windows without a prompt, so not to confuse my old Dad when he used my PC.