Most distros, at least mainstream ones, will happily install right alongside Windows and give you the option to boot from either Linux or Windows when you start your PC.
Basically, there is a “boot loader” that the motherboard finds on the hard drive when the PC starts up and tells it to load the OS. The bootloader handles getting the OS kernel out of the hard drive and into memory with the correct drivers so the kernel can take over. Windows has its own bootloader that can only boot Windows. Linux also has a boot loader called “GRUB” that can boot multiple operating systems located in different partitions on your hard drive as long as it knows where they are.
You’ll have to first shrink your Windows partition using the Disk Management tool from inside windows so that there is “unused” space on your hard drive not occupied by the Windows file system. Then run your Linux bootable USB and it will take up that space to install Linux. Any normal distro like Ubuntu/Debian/Mint et al. will set up GRUB automatically to recognize both Linus and Windows, and you’ll be off to the races.
However, if you just want to play with Linux before you commit to faffing about in your partition tables, most distros can also run in a “live USB” state where it loads the basics of the OS directly from a USB stick into memory, no installation required. I highly recommend doing this first!