There are several possibilities with differences in speed and "desktop integration". It also depends on which distribution you want to run and which ressources you want to allocate. In some subjectice order of "geekiness":
1) Run Linux from Live CD, or USB
This option will need no changes on your harddisk, but I would not start doing developement with a Live CD solution, except maybe with really specialised distros (my personal favorite (1)) .
2) Dual (or Multi) Boot setup / Linux Partitions
This is the setup where you can reach native speed. I would recommend Grub4Dos bootloader(2).
Disadvantage: You have to repartition the harddisk, which might be difficult with some newer default setups (i.e. where all 4 primary partitions are occupied by Windows)
3) "Wubi" like installs (Linux on Windows partition)
Wubi (3) is the best known application, but there are other possibilities to install Linux on a Windows machine without the need to repartition the hard disk. Advantage: You need not touch your original Partition setup, almost no performance penalty. Disadvantage: No direct interaction with the windows desktop (like options 1,2).
4) Virtualisation:
Either use VMware, Virtualbox or Qemu-KVM. There is a small performance overhead, but it is usually in the range of just 5%. Desktop integration with windows is usually good, although with some remaining quirks. Using Virtualisation is a safe option, but there is an additional learning curve in the setup (allocating virtual diskspace, virtual RAM and network setup)
5) Colinux (e.g. andLinux)
This gives nice desktop integration, because Linux runs under the Windows Desktop environment using a Xming-Server . There is a performance overhead - I benchmarked 10% -50%, although File I/O is noticable slow. If you use andLinux (4) there is an "exe Installer", which makes installation easy. Advantage: Good Desktop Integration with Windows. Disadvantage: noticable performance hit, only available for 32-Bit Windows.
6) Cygwin
Probably not what you want, but mentioned for completeness. It is a Linux like environment running under Windows. (5)
There are many ways to run Linux alongside Window. For me personally the fastest way to get Linux running on Windows is to use a Grub4dos dual-boot exe installer like described here (Type 3 - Wubi like installs).
I am sure you find the way which best fits you.
(This links were rejected by the spam protection)
(1): www.puppylinux.com/
(2): gna.org/projects/grub4dos/
(3): www.ubuntu.com/desktop/get-ubuntu/windows-installer
(4): www.andlinux.org
(5): www.cygwin.com/