If you want to boot into a live Linux environment but don't have a blank CD or thumb drive handy, you can actually boot right from your hard drive using GRUB and previously mentioned Unetbootin.

The best way to learn Linux is to use it. A good introductory book will help, but you won't really learn Linux or become confident in your skills unless you park yourself in front of a Linux ...

UNetbootin will identify whatever likely candidate (s) it can find for the USB stick target, you select the one you want, click "OK" and in 5-10 minutes you have a bootable USB stick! Zowie!