Hmm, OK - perhaps you're misunderstanding the concept.
Linux is a whole operating system, like OS-X or Windows.
Ubuntu Studio is a distribution of Linux geared towards music / video / art.
You can download an ISO of the install CD. You can boot from this CD and use it to install the operating system to your Hard Disk.
When you install to the hard disk, you can either overwrite your existing Windows installation (which I doubt you will want to do) or you can create a new partition and install to that. The installer should setup a bootloader for you, so you can choose which OS to boot at startup.
There is a walkthrough of the installation process
here.
There is more info at the
Ubuntu Studio Wiki.