In addition, installing portable ubuntu is a good idea as well. It sites directly on top of your existing Windows installation and starts by running a simple batch file.
There are a lot of books on Unix/Linux/Solaris — they are all much more similar (if not identical) than different. You can also get started at The Linux Documentation Project, tldp.org.
I started by using the Ubuntu Live CD, which is part and parcel of the standard Ubuntu installation CD. I quickly got the bug, and now I use 95% Ubuntu and only 5% Windows. I like free, free is cool.
You could always use one of the virtualisation products such as Sun’s VirtualBox or VMWare player and run a linux install on your desktop inside one of these apps.