Just install a version of Linux, and start playing around with it. Do stuff in the terminal, write code, write scripts, etc.. It all depends on what you want to do with it (sys admin, coding, etc.).
There are basically two main families of Linux distributions: Red Hat and Debian. That split is where most of the differences are, but there are not too many. On the Red Hat side, you can get distributions like Fedora (and its variations "spins") or other derivatives. On the Debian side, the main family is Ubuntu and its derivatives. Frankly, any of them will do, Linux is pretty similar between distributions or family of distributions. Think of different distributions as different "flavours" of Linux, because under-the-hood they are all nearly the same. I suggest you just research around a bit and see screenshots / feature-lists to figure out which distributions might be best for your taste, and then just try one, or a few.
You can first try out different distros by installing them in a VirtualBox. But, ultimately, you really should do a dual-boot installation with the distro that you prefer.
One of the best things you have to do is to buy a good book on linux as Linux bible and after if you want to go more in front you should find an exellent book as unix and linux system administration handbook 4 fourth edition.
you can also install the Ubuntu on a USB is very easy you download the Ubuntu ISO and after yoiu are going to install the ISO on your USB you need to use the Unetbootin program to do it from window in the more easy way
As said, just install Linux (either on your HD or a virtual machine) and get started! You can ask for help here, or you can go to http://www.linuxforums.org/forum and post there - it is a Linux only forum (the other one I help on) and there are a LOT of very experienced linux experts that lurk there. You'll find my Rubberman handle there pretty easily! :-)
One little bit of advice. On Linux, when you have a problem with a command, try the man pages. Example, you need help with the bash shell for scripting, then execute in a terminal window the command: man bash
Man pages allow searching - just enter a /searchterm from the keyboard. IE, you want to find references to the "set" sub-command, then just input "/set" (without the quotes).
And FWIW, I am running the Scientific Linux version of Red Hat Enterprise Linux right now! :-)