For a while now Ubuntu has offered what is known as a Wubi install.  It is a virtual install withing a Windows operating system.  It acts like the real operating system but makes no major changes to the operating system.  It is a great way to take a first step into the world of Linux without much risk.

A very well written guide has been posted.  Check it out at the link below.

http://wirate.wordpress.com/2010/08/27/the-complete-idiots-guide-to-trying-out-ubuntu-linux/