While Wubi won't, for now, run on Windows 7, you can use it on Windows 98 up to Vista. You simply run the installation program, which will take a few minutes, and at the end, you'll be able to boot into Ubuntu without any fuss or muss.
Well, usually. Wubi is known to have problems with some hardware. For more on how to deal with such problems, see the WubiGuide. Presto, while not as full-featured, gets along better with a broader array of PCs.
3) Live CD, DVDs, and USB Sticks
Perhaps the most common way to give Linux a try is with the use of a live CD. These are versions of distributions that are designed to run from a CD, DVD or USB stick. The first two will run more slowly than your PC would ordinarily run any specific distribution because they don't have access to your hard drive. USB sticks, because they can use the empty space on the drive for virtual memory, can run almost as fast as a fully-installed operating system.
No matter which way you try, some things are the same on all three media. First, you need to download a live CD distribution. You can find a comprehensive list of these distributions on the LiveCD List. As you'll see at-a-glance, almost all Linux distributions now have a live version.
Once you select a distribution and download it, you will have an ISO file. This is a special file type that you must burn to a CD, DVD or USB stick. You cannot simply copy it to a blank disk, that won't work.
To burn an ISO, you need a CD-burner program. Many programs can do this, but if you don't already have a favorite, I recommend Active ISO 2.0, a freeware program, or PowerISO 4.5, a more fully-featured shareware program.
Once you have a burning program in hand, use it to burn your ISO image to your disk or stick. After that's done, you should check your new disk for errors. I've found more problems with running Linux from live CDs come from bad media than all other causes combined.
To use your newly created disk or drive, simply place it in your PC and reboot. Your machine should then shortly start running your Linux of choice.