Since April 2006 I have tried a dozen or so flavors of Linux. The two I use the most are Ubuntu for the day to day stuff and Puppy when I need a live CD for rescue and other stuff. Check out DistroWatch here you will find information on hundreds of Linux Distributions.
Overwhelmed? Check out Frozen Tech. It sells CDs and DVD's containing the most popular Linux distributions. It is a good way to get your first Linux CD. If you order from them be sure to include the Knoppix Live CD.
Ok you could not wait for the postman, so you downloaded a Linux ISO file whatever that is. An ISO file is a CD image. The only way it is useful is to burn it on a CD as an image not a file.
For you windows users, if your not sure how to burn the file then I suggest you get a copy of BURNCDCC.
For more info check the Ubuntu Burning ISO How to.
While on the subject of downloading and burning a Linux ISO. The GParted Live CD is a partitioning tool that I think you will find handy. Why don't you download and burn it to a CD now.
Did I mention there is a learning curve involved?
For the would be Linux hobbyist this is the step that shows Linux is NOT Windows. If your lucky you put the Linux CD into the drive, restart the PC, Linux loads and your off and running.
Here are the common reasons why a computer does not boot to a Linux live/install CD.