No need to do that ^
Although I agree with HC... it would be easer to run it from a USB card or USB hard drive, if you want to install it alongside your current windows just start the install process for all major distributions of Linux and during the install you'll get the option to install along side your current windows install, then it does it all for you.
do make sure you back up all your important stuff from the windows install first though, it's rare, but doing things like this can go wrong and wipe your hard drive totally.