Linux? What? Help!

[monkeypants]

Where can I download a simple Linux version that runs off the HDD rather than a Live CD? All the different places are confusing me, so a simple name/link (if possible) would be ace.

Also: Do you download it, burn to a CD and then install from that?

Thanks.

 

[monkeypants]

It'll be on a Dual 32bit Xeon PC. Does windows need to be installed before I can install Linux?