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OK, first check your CD burning software. It should have an option somewhere (under "tools" perhaps?) to burn a CD/DVD image. That would be the iso image file you will download.

Once you've verified that you have the ability to burn iso images, go to either Pendrive Linux or The LiveCD List and choose the distribution ("distro" in Linux lingo) that sounds like a good fit for you.

If you have no idea, I'd recommend several options--Knoppix, Puppy, Ubuntu, or Fedora.

I personally use Fedora, but I think most people think it's not good for new people. It's hard for me to tell because I've been using it for 7 years now, and Linux in general since 1993.

Anyway, Once you've downloaded the Live CD version of the distro you decided on, save it to disk , then use your CD burning software to burn that image. That should be it.