Make sure the BIOS is set to boot from the cdrom and it should boot directly from the linux cd.Some distros will make partitions and format the drive for you, some wont.The ones that dont have utilities on the linux cd for you to do so.
used fdisk or cfdisk to make partitions, you will need at a minimum 2 partitions, one for the OS and user space, and a swap partition.usually making the swap partiton=double your RAM is fine, anything over 256MB isnt necessary really, 256MB is plenty.Most people these days have way more RAM than needed with linux anyway.
after that most linux distros will format the drive for you, there are several choices you may be given as to filesystem type--->ext2,ext3,reiserJFS.They all work fine, given he choice the reiser journaling filesystem is usually the best option, its more foolproof in case of a power failure.
Any other problems just post back, let us know what flavor of linux your using, sometimes that helps.
Also, what hardware choices as far as video,sound,and NIC cards or modem, you may have issues with those too.Linux doesnt have the huge driver support that windows has.