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If you are just getting into it, the best way to do it IMO instead of dual booting is to use VMWare. You can just switch back and forth between Windows and your Linux distro if you need to do anything.
As far as distros go, Ubuntu seems to be one of the most popular. I've got it installed on a VM here on my laptop, and most of the Windows admins that I know who tinker with Linux use Ubuntu as well.
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