May i run the linux with the windows on my system?

Most Linux OS have live CD capabilities... That means you can run it from the CD... It loads into your RAM and when you shutdown your computer it is gone...
Ubuntu, Kubuntu, Xubuntu, Samurai Linux, Damn Small Linux (DSL) and many others have this option...
But like David said... install and run in a virtual appliance if you wish to keep the operating system...
Or you can have a dual boot system which then gives you the option at start up as to which one to load... Windows or Linux...

Good Luck...

Yes, you can, and not just in an emulator. I don't know what versions of Linux work for this (besides Ubuntu), but you could do the following.
Mind you, messing with some of this stuff can be dangerous. Google some directions, be careful, and make sure you know what you're doing.

1. Get Linux (I recommend Ubuntu) and burn it to a disk or something similar.
2. Fuss with your system's BIOS so the computer will boot from a disk.
3. Restart the computer with the disk in it. The setup menu for Ubuntu should pop up.
4. During the installation process, it should give you the option to either install Ubuntu alone (overwrite everything) or install besides another (such as Windows). It DID give me this option when I installed it on my computer.
5. Choose the appropriate option and install.
6. Fiddle with BIOS again to make it boot from the harddrive.

I dunno what other issues might appear -- and I dunno if I'd be able to help you with those. As for having two OS's installed, I'm not sure how you'd get to choose between them during startup, but I'm sure some sorta menu should appear.

Best luck. :)