Step 1:
http://distrowatch.com/Step 2: Scroll down a bit, and on the right side you'll see a ranking list of 100 operating systems.
Step 3: Look through them and find one you like.
Step 4: Download it (usually through the link labeled "Download Mirrors" on the description page). This will take a lot of MBs or GBs, possibly spread acrosas multiple disk images, so be prepared to wait. Don't worry, your Windows days are numbered.
Step 5: Burn the images to CDs (or DVDs, as the case may be).
Step 6: Restart the computer with the boot CD in the drive.
Step 7: Install! This is the fun part, as you might not know what you're doing, and I'm not going to detail all the steps here, but you have to figure it out anyway. Oh, and you might also want to do things like "backups" or "partition resizing"...but who needs instructions for that, anyway?