If you use Linux, you're probably used to downloading disk image files of new releases in .img format and burning them to a bootable DVD or CD.  There are plenty of free tools that can do this, though I've always preferred the simple DVDBURN.EXE or CDBURN.EXE command-line tools that are supplied for free with the Windows Resource Kit.  

But if your computer is capable of booting from a USB thumb drive, there's no need to use CD or DVD disks.  Instead, just burn the image to a USB device.

My favourite tool for doing this under Windows is something called Win32 Disk Imager.  It's free, and you can get it from www.launchpad.net/win32-image-writer.  Just download the zip file (it's around 5 MB), unpack it, then double-click on the main Win32DiskImager file to run it.  Then select your USB drive letter, and the name of the image file you want to write, and press the button.  That's all there is to it.  Come back in a few minutes, and you'll have a bootable USB stick from which you can boot your PC into Linux.  And assuming that you use one of the "Live" disk images, it'll be a temporary installation rather than a full install, so you can easily boot back into Windows afterwards.

The program also works with SD cards, though it doesn't burn CD or DVD disks.

Incidentally, if you like messing around with Linux image files on USB sticks, you'll probably be aware that a disk image usually contains multiple partitions.  So, for example, you might end up with a 4 GB stick that contains 2 or 3 separate "drives", of varying sizes, each with their own drive letter.  If you subsequently want to re-use that stick, perhaps for a new Linux release, you'll first need to wipe all those partitions and recover the stick to its original size.  An easy way to do this under Windows is to use the built-in command called DISKPART.  However, be aware that this tool can lead to major problems if you accidentally delete the wrong drive(!), so make sure you read up on it carefully beforehand.