I'd reccomend dual booting linux with windows rather than running linux on top of windows, you won't get the true linux experience when you're sharing memory space with windows - here's an article with some pointers - http://www.linuxgazette.com/issue38/veselosky.html

If you absolutely must use linux on top of windows then, yes, there is a program called winlinux, its at winlinux.net i believe - can't say i've ever used it though.