If it doesn't, and your PC just keeps booting right into Windows, you probably need to reset your PC's BIOS. To do this, keep a close eye on your computer as it starts up. Modern PCs will display a brief message about which function key to press to enter system set-up or to re-arrange the computer's boot drive order. After pressing the appropriate key, you'll end up in a character-based menu interface and you can then tell your system that you want it to boot from your optical or USB drive.
If you're using a USB-stick based distribution, or pen-drive, you can also save files and data to the drive. This means that, for all practical purposes, you also get a complete, customized desktop that you can carry with you and use on any modern PC that supports booting from USB drives.
Of course, that also means you're carrying your information in something small enough that it could fall out of your pocket and never notice that it was gone, so, be careful! You wouldn't want the parking lot attendant to answer your e-mail for you afterall.
Do you ever find yourself just wishing you could just run Linux without leaving Windows at all? In short, just run it like it was an application. Well, thanks to virtualization software you can do just that.
There are many virtualization programs that will let you pull this trick off. They include VMware Workstation, Parallels Desktop 4 for Windows & Linux, and my personal favorite, Sun's VirtualBox. I like it because it's free, easy-to-use, and Sun is constantly improving it.
To use VirtualBox, first you need to get a copy of the program from its download site. Once you have VirtualBox in hand, you'll need to install it just as if it were any other Windows program.
With that done, to install a guest operating system, you press the "New" icon and follow the wizard's instructions to install the VM (Virtual Machine). After that, you click the Start button to actually install your guest operating system on your new VM.
To make that happen, you need an ISO image file again. One nice VirtualBox feature is that, besides using the usual CD/DVDs or USB flash drives, you can just use the downloaded ISO image files on your PC for the installation 'media.'
When all is said and done, you end up running a Linux instance -- or two or three--at the same time as you're running Windows. This lets you mix and match operating systems as needed.