Use Cygwin to Run Linux on Windows

Yes, not only can you run Linux from a CD --
http://systemnotesorg.blogspot.com/2007/04/how-to-get-started-with-linux.html, but you can also install it in Windows, and run it as a Windows
program. You get a standard linux bash shell, and even X, with a little
configuration.

What Is Cygwin? (from http://cygwin.com)

• Cygwin is a Linux-like environment for Windows. It consists of two
  parts: A DLL (cygwin1.dll) which acts as a Linux API emulation layer
  providing substantial Linux API functionality.


• A collection of tools which provide Linux look and feel.

The Cygwin DLL currently works with all recent, commercially released

x86 32 bit and 64 bit versions of Windows, with the exception of Windows CE.

Note that the official support for Windows 95, Windows 98, and Windows Me will be discontinued with the next major version (1.7.0) of Cygwin.

What Isn't Cygwin?

• Cygwin is not a way to run native linux apps on Windows. You have to
  rebuild your application from source if you want it to run on Windows.


• Cygwin is not a way to magically make native Windows apps aware of
  UNIX (r) functionality, like signals, ptys, etc. Again, you need to
  build your apps from source if you want to take advantage of Cygwin
  functionality.

Where to Get Cygwin
http://cygwin.com/
http://freshmeat.net/projects/cygwin/
http://sources.redhat.com/cygwin/

How to Install Cygwin
1) Download the installer
2) Run the installer
3) Select some mirrors near you
4) Select applications to install, or just leave the default
5) Finish
6) Run cygwin (double-click on the icon)
7) Enjoy!

Support for Cygwin
RedHat -- for Cygwin licensing or commercial support http://www.redhat.com/software/cygwin/
Cygwin FAQ -- http://cygwin.com/faq/
Cygwin Users Guide -- http://sources.redhat.com/cygwin/cygwin-ug-net/