first of all choose distribution and download the discs from the known site
http://www.linuxiso.org/index.php
Distributions like Slackware and Gentoo are very good but, it's not for newbiez, so make your choice.
OK now...
1. check the discs with md5sum.
2. burn them.
3. reboot your PC.
4. you sould see the installion, if you dont, check your bios.
5. I recommend you not to press NEXT NEXT... before you read everything.