Linux and Windows are two very different operating systems. The main points of difference can be summed up as follows:

1) Windows costs a heck of a lot of money (since you're an Indian, Rs.4000 for Windows XP Home and about Rs. 12000 for Windows XP professional) while Linux is free for download. If you don't feel like downloading Linux, you can easily pick up a book (I reccomend The Red Hat Linux 7.2 Bible Unlimited Edition) for less than Rs. 500.

2) Windows is probably the most insecure OS around while Linux is safe and reasonably secure.

3) Windows is very user friendly while Linux can be a real bitch to setup and learn.

As you seem to be a newbie, I reccomend that you first learn Windows inside out before you think of installing Linux on your computer. Linux requires that you have a high level of comfort around your PC. If you do know Windows well, check out http://linuxnewbie.org for tons of info on Linux.
Cheers,
cgkanchi