Looking to install one of the distributions listed on this site? Here are some general instructions to get the job done for most distro's listed here.
Note: Some Linux distributions will require special instructions, which you will find on the download site for that specific distro.
Assuming you are on Windows (If you are on linux, you know how to install Linux and don't really need this tutorial) the easiest way is using Easy2Boot (Which does more than just Linux too!)