Let's assume that you want to install Red Hat Linux, as they have one of the best installation packages (called anaconda) out of all the Linuxes I've used.
1. The first step is to make sure you have a reliable backup of any information that you already have on your computer. Most likely, you'll want to just overwrite your entire disk with the new operating system, which will mean that all your existing files will be stomped, mutilated, and otherwise burned beyond recognition.
Once you're sure you want to proceed, slip the first installation CD-ROM into the CD-ROM drive of your computer and boot up.
It's not visually exciting, but the first thing you'll see is as shown in Figure 1.1, the boot-up screen options. I always choose the default by pressing Enter on the keyboard.