All of the recommendations so far are good.
A virtual machine is definitely the safest way to try out Linux. It is even safer than booting from the live CD. It can be a lot of fun, and if you completely mess up the Linux virtual machine, you can simply delete it and start again. Your familiar Windows environment is right there ticking right along just outside the virtual machine's window.
Ubuntu runs quite well under VMware Server or Virtual PC (the Microsoft offering) and even better under VirtualBox. All three are free and will peacefully coexist on a Windows XP machine.
For your purposes VirtualBox is probably the best choice. VirtualBox is lighter weight and you do not need the extra features of VMware Server. In fact, VMware Server can be risky if you are directly connected to the internet. It allows other computers to run a virtual machine remotely.
Ubuntu, VirtualBox, VMware Server, and Virtual PC all have excellent forums you can go to for help. They all have threads for new users.
Basic instructions:
Start VirtualBox
Create a new virtual machine with at least 10 GB virtual disk, 256 MB memory.
Open the Settings popup.
Use NAT for networking.
Enable Audio and choose Windows Direct Sound
Mount CD/DVD and select the drive letter of your Ubuntu install CD
Start the machine and follow the directions
Rest assured: The partition step will only change the virtual disk.
Install the VirtualBox Guest Additions (under the Devices menu)
You may need to adjust the firewall on Windows to add the new address range of the virtual machine so you can share folders.
I will add another post with more advice for full multiboot installs.
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My machine currently multiboots into Windows XP, Ubuntu, Fedora, Mandriva, Suse or Debian. I also have virtual machines with Windows 98/95/3.1 various DOS replacements, Several Linux versions, AROS (experimental Amiga replacement), WinUAE (Amiga), AppleWin (Apple II) and Dosbox (for old DOS programs.) Oh yes. I also just made a virtual machine for a multiboot test bed. That's how easy it is to use VirtualBox.