The first thing to do is to prepare a space where linux can be installed. The best way, imho, is to use partitionmagic and create a new empty (unformatted) partition. Then let the linuxinstaller allocate and format that space like it wants to. It wants to make at least two partitions within that space. Just follow the suggestions. Give it some space to begin with, so you dont have to resize those partitions later. 5 GB will be more than enough.
The first cd is bootable, just pop it in and reboot, and you're going.
Linux will install it's own bootloader to the bootsector currently probably on tour XP partition. However, there is a way to install Linux alongside Windows without it touching the windows partition. Here's an exellent description (imho) on how to set up this dual boot. The trick is to install lilo (the linux bootloader) to the linuxpartition, then have the windows bootloader to call on it. The description is on Mandrake 7.2 and windows 2000, but It works exactly the same way with XP and Mandrake 8.2.
http://www.littlewhitedog.com/reviews_other_00011.asp
Last time I had trouble writing that "linux.bin" file to the floppy, Then I wrote it to /tmp I think, then e-mailed it to myself to access it from windows

. But that was probably just my system. Try the floppy thing first.
have fun :D
\nomen