Well, whatever distro you want you can download from most of the time their sites. Like
http://www.redhat.com,
http://www.slackware.com, and so on. If you have a burner, you can download iso images to burn your own cd from whatever distro you want just go to
http://www.linuxiso.org.
Now installing: Hmmm.....if you know nothing of Linux, it is probably best for you to read up on it before installing it, you can goto
http://www.linuxdocs.org, or try this site if you choose RedHat as your distro:
http://www.easyfeed.com/~jgo/LinuxGuide/ or there are sites like
http://www.linuxnewbies.org and so on......
Its best that you read up on it before you install.