There are two many solutions for virtualization when using Windows as a host OS. The first is the free Oracle VirtualBox. It's a capable solution that's always seemed to work well with me in the past. The second choice is VMWare Workstation. I haven't used this software regularly in nearly ten years, but it's always seemed to work well as well. This tutorial will cover Oracle VirtualBox only.
Which Linux Distro?
There are more Linux distros than you can shake a stick at (no, really, you'll be shaking all day). Each have their advantages, and even trying to suggest one is better than the other will usually be met with a flame war. My chosen distro is Ubuntu, it's easy to get Ruby up and running and it's familiar to me. When you've made your choice of Linux distro, download the normal ISO you'd use to burn a CD or DVD to install it, but don't burn it, you won't need a physical disk. Since I've chosen Ubuntu, I've downloaded the 32-bit 13.04 desktop version.