If you're new to UNIX-like OS's, then you should consider a virtualization solution, as David Mackintosh suggests. Why? Well, you can use this to learn the good and the bad about the OS. You can make mistakes and break the VM as often as you want without affecting the host Windows machine; this type of practice is essential as it gives you the practical experience you would need for using the OS for real work. For a first educational example, install a basic OS in the VM then, in the root directory, can run a recursive force delete:
sudo rm -fr /
Why do this? When you've done it once, and you see what effect it has, you'll understand why you would never want to do it again. Of course, this is just a simple, but illustrative example. Be prepared to delete the VM and re-install after this.
Which OS? For a GNU/Linux system I usually recommend Debian because it's stable and the installer is straightforward to use. If you've used Fedora, you could choose that for its familiarity. These systems have many users so finding help when you have a problem will be easy.
What next? Work out what you want to learn or try out. The command line is a good starting point, to understand the basics of what they offer and where to find different parts of the OS. Installing a graphical interface isn't essential, but means you'll already be familiar with the interaction model. Don't worry about performance at this stage, you're still learning and that should take precedence. Here are some suggestions for topics to investigate and put into practice on your new OS.