You don't have to use a live CD for linux. If you have a burner, download the ISO's from
Linux ISO' ">http://linuxiso.org/, and choose a preferred distribution -- if you are just starting out with linux, I recommend Red Hat, since all the other distrobutions are pretty much based off that.
After being burned, they can be installed on the PC just like any other operating system. If you are dual-booting, then that's a little bit of a different story, and will require a little more work on your part.
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