There is are two ways to install Linux in Windows and only one way to
install it through Windows.

The two ways to install it in Windows are to use a virtual machine such as
offered by Virtualbox or VMware with Windows acting as the host and Linux
as the client and the other way is to use somethng like andLinux or coLinux
or Ulteo (more for enterprise).

Since Linux is free you can use it in a VM without worries about licensing
or cost as would be the case to run Windows in Linux. The downside of VMs
is that it takes a fairly powerful processor and lots of RAM. The coLinux
option is rougher, but works a bit like wine in reverse.

The way to install Linux through windows is to use Wubi as previously
explained by LAC. The advantage of Wubi is that it requires NO
partitioning. You just install it (and remove it) from the Windows
installer (and remove using the Control Panel). The difference between Wubi
and the VM or coLinux route is that you must re-boot to use Linux. While
Wubi installs in Windows on your C drive, it runs outside of Windows and
does not require windows to run. It is just as fast a Linux running
natively, however it will run slower if your disk (C drive in Windows) is
fragmented. Defragmentation before installing Wubi is the solution. It also
can be destroyed should anything happen to your Windows drive such as a
hard re-boot with it open etc. because large files are the first to go and
this is a huge file. Also you cannot hibernate from Linux installed by
Wubi. Read the explanation below if you want to know how Wubi works.

http://www.andlinux.org/downloads.php
http://www.ulteo.com/home/
http://wubi.sourceforge.net/faq.php