Installing Linux XP

I'm another "newbie" to Linux and hopefully a fan of Linux. Heres the situation: I've got a computer with WinME as the OS. I ran the Linux XP disc but nothing happened, so dummie me thought change the boot order in the BIOS to boot from the CD drive which I did, then when I ran the disc things happened. The disc seemed to be downloading data but after everything was done nothing seemed to have changed, I still see the WinME desktop and the windows file set-up, not really knowing what to expect I don't know what was installed (if anything) Could somebody give me an idea if I've done this right or what Linux XP changes?