Probably the coolest way would be to use the VMware player to run one of Falko's vmware images: http://howtoforge.com/list-of-downlo...-vmware-images
You have to join to have access to them, but should be well worth it.
If you don't know what I'm talking about, the VMware player creates a kind of machine within a machine on your windows computer. Once you install the player, you just run the image--no installation or settings to hassle with--it's ready to go.
It doesn't mess with anything on your computer because it's all isolated--just delete it when you're done.
I've been using it to try out different flavors of linux in my Windows XP box.