You could look at Mandrake. They have a fake install which puts Linux into a really large file on your hard disk. It's not as good as a real Linux install, but it's supposed to be a lot easier. (OTOH, this is based on their ads. I've never tried it myself.)
The two other ways that I know of are either partition your hard disk. (People keep mentioning Partion Magic for this job.) Or add a second hard disk for the Linux system (this is my favored approach).
I know from personal experience that adding a second hard disk is relatively easy, and makes a dual-boot system about as easy to manage as two single boot systems. The other approaches I know rather less about, but have heard many successful reports of the repartitioning approach (my experiences were a bit less cheerful, so make really good backups ahead of time). I haven't heard much yea or nay about Mandrake's image file, but it could obviously be destroyed from windows, even by accident, so I wouldn't do much more than test things out that way.