A few years ago I wrote this article; one of the items discussed is dual booting (though, admittedly, not in much detail). Generally speaking it's pretty simple to create a system with both Windows and Linux; most modern linux distributions support creating that kind of system out of the box. The general method is this:
Install Windows
Make sure there is enough space on the harddrive / one of the harddrives (this depends on your distro)
Download the installation files and burn them to CD / DVD or transfer them to a USB stick
Boot from this installation device
Follow the instructions during the installation, stating that you would like to keep your Windows installation as well
The details may vary slightly depending on the distro you want to use but luckily most major distributions offer detailed instructions on how to set such a dual boot system up with their product.
An alternative is to install windows and then run virtualization (such as Oracles VirtualBox) that can then load up a Linux image. Then you don't have to shut down every time you want to use the other.
Another option, though not a great one, is to run something like Cygwin native in Windows, but implemented to behave like Linux.
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