Linux is extensively documented. Documentation exists in the form of "HOWTOs" and "mini-HOWTOs" . They are all free and downloadable via FTP and HTTP. Each HOWTO takes you through the steps of solving a particular problem, and actually explains the meaning and the reason for each step, so you always learn something important in the process. (In this aspect, configuring Linux is very different from configuring Win9x or WinNT. Their manufacturer doesn't care if you understand what you are doing as long as you follow instructions, so after you spend an hour clicking through menus and dialog boxes, you still learn nothing about how things work or why they work that way - just my opinion, supported by much experience.)
Find the Linux Documentation Project at http://www.linuxdoc.org/ (also http://metalab.unc.edu/LDP/). The documents you find on this page describe every step needed for installation and customization of Linux. Expect to do some reading. Expect to learn important things about how your PC works.
If you are only thinking of installing Linux, start with the Installation and Getting Started Guide, and then read the first two chapters of The Linux Users' Guide .
Then look at the list of all HOWTOs to see what specific issue info is available.
The next step is to choose a particular distribution. I recommend buying a CD with a basic distribution. In principle, you can download everything, but that would take a lot of time and bandwidth. Also, it is nice to have a distribution on a CD in case you want to install an extra package. You don't have to pay much, the prices are comparable to the cost of CDs (e.g. try Cheap Bytes http://www.cheapbytes.com/, enter their catalog at http://cart.cheapbytes.com/cgi-bin/cart ). A CD pack from a major distributor can cost around $40-$50, but they offer 90 day installation support. I was just about to use it a couple of times, but then found all the information I needed at DejaNews (Power Search) [this redirects you to Google now], in the Linux forums comp.os.linux.setup, comp.os.linux.x and other comp.os.linux.*
Notice that the Linux kernel itself is the same for each distribution (different distributions may differ by kernel version). It's the initial configuration and the add-ons that are somewhat different. Of course, you can customize everything the way you want it, and learn a lot about UNIX in general in the process. On Linux, most settings reside in plain text files (unlike Win9x, where most config files are unreadable binaries, so that you never know all the settings that your program/system has). You write your own config file after you read the corresponding manual or a related HOWTO. See The Linux Users' Guide on how to customize.
The major distributions I used are RedHat http://www.redhat.com/ and Caldera OpenLinux http://www.calderasystems.com/. I currently use Mandrake 8.0 http://www.mandrakesoft.com. People also say good things about Debian Linux http://www.debian.org/ . All of these offer installation guides that explain everything in detail and utilities that help simplify the installation.
Check which Linux distribution has drivers for your hardware. Vendor sites above have harware compatibility lists (print them out before you got to the store to buy that modem/video card/printer). One useful site is http://www.linmodems.org if you have to deal with the abomination that is a "Windows modem". In my experience, a "hard" modem is always worth the difference in price (they are around $80). Searching comp.* newgroups at Google is the first thing to do when some piece of hardware doesn't work right -- someone must have encountered this problem before, and, with luck, posted a solution.
To have a dual boot system that can boot into both Linux and Win9x, I use the Linux Boot Loader LILO. The installation process is described in the Linux Installation and Getting Started Guide and the appropriate HOWTOs . You will need to re-partition your hard drive. There are commercial programs (around $20 - $40) that allow you to do that will very little pain. Partition Magic is one, Partition Commander is another of these. The only thing you really need is support for FAT32 and/or large disks (FAT32, the new Microsoft filesystem, is incompatible with anything else, and is the default for many new PCs). You usually need the cheapest version of either product, for that single operation.
For general information about Linux see (and search) http://www.linux.org/ .
Most software available for Linux is Open Source http://www.opensource.org/ (which means that it comes with source code; as a result, it is being tested and debugged by many excellent programmers all around the world). The best and most fundamentally useful software (such as Emacs and gcc/g++) is written by the Free Software Foundation http://www.gnu.org/ and is freely available for download (Emacs and gcc/g++ are already a part of your Linux distribution, as well as PERL and other fantastic free stuff). Read what some of the best living programmers have to say about Free Software. In particular, I recommend Richard Stallman's (the author of Emacs) essays Why Software Should Not Have Owners and Why Software Should Be Free.
Naturally, Microsoft hates Open Source and Linux and will keep trying to subvert them. See the famous Halloween Documents (Microsoft has acknowledged the authenticity of these leaked internal memos. I really suggest that you read that page, the FAQ, the memos and the story. You can also look up FUD).
Have fun with Linux!
Disclaimer: The opinions expressed above are mine alone. They in no way reflect the policies of NU CCS or any courses I teach.