To download? Or to install?
First tell me what distribution you chosen. Ubuntu? Fedora Core? Than i'll be able to tell you how.
1. In general, most distributions come in images (not pictures; it's a cd/dvd image) which you will have to burn to a cd/dvd. There are many programs which can do that, here are some examples: poweriso, nero, magiciso, alcohol etc.
2. Boot with the cd/dvd inside your cd/dvd-rom drive. (make sure the boot order is set properly: CD/DVD-rom drive before HDD)
3. On some distributions there will appear a menu to ask you what to do next.
Some distributions come in live cd/dvd-s. This means that you can run the operating system from the cd/dvd without having to install it.
4. To install it on the computer, you have to run the installer, which usually appears on the desktop. The installation process is very simple, like installing a program in windows.
There are also some distributions coming in text-based installers. Since i haven't tried one yet, i can't tell you how to install it.