Install it in a seperate partition, preferably the last logical drive space if you got good HDD space. Linux distos have dual booting so you can boot into lin or win. That way you keep your windows and practice on
HI , But take care if u r a newbie and are installing Fedora core 2/3 It will make ur windows unbootable.I had faced these problems. Installing in the last logical drive can also create problem with buggy bioses.As in my computer i got to have a /boot partition in the first 6-7 gb otherwise my linux doesn't boot. SO take care of these issues .Google on the net.Read the docs before doing that..
Pankaj