The quick answer is to just use Unetbootin. It's a universal net boot installer for Linux.
1. Download the ISO for a linux distro.
2. You can use the built-in downloader of Unetbootin, too.
3. Just install to a USB drive or to your hard drive. Unetbootin will do a safe frugal install of the Distro if you choose your HD.
Try it out and see how safe and fast it is to get into Linux when dual booting with Windows XP.
