Downloading linux is really simple, it is mostly available in disk image ie. ISO and you can burn those ISO on disc and then can install Linux on your computer using those bootable CDs / DVDs .
For instance, if you want to download Ubuntu Linux which is very well known now a days, you may goto :
http://www.ubuntu.com/getubuntu/download and rest is pretty self explainatory.
You may also know list of all linux distro at distrowatch.com and also the download pages from there.
Other fast and efficient way is to download via Torrent. Mostly all linux distro website give details about their torrent too.
