I've always used windows and recently started messing around with some linux over at a friends house. my question is with already running windows and wanting to keep all my stuff how should I go about installing linux? and which distribution should I use? I was thinking of going and getting redhat linux but wasn't sure? I think I read redhats installation will create a dual boot section for me so I can chose between operating systems as my computer boots...

The lilo and grub bootloaders will accommodate a dual boot setup and provide a choice of OS at boot up. This is true for just about all Linux installs. Be advise that the current version of RedHat does not install with MP3 support and requires additional downloads and configurations to do so. Mandrake on the other hand supports MP3 out of the gates.

Do you suggest mandrake over redhat? will linux support my linksys router? if not to big deal i will be making a dual boot, but may come in handy...

They are quite similar except Mandrake has a bit more bloatware, so it appears more automated and Windows-like. Mandrake also adapts more readily to hardware changes, friendlier for new users. If you want to enjoy MP3s then RedHat 8.0 does not have support for them, Mandrake 9.0 does. Either installation will support your Linksys router, just select auto detect, DHCP during the network setup point in the installation.
Be sure of what you want to do as removing Linux after a change of heart can leave your system unbootable. Win2K and XP can easily rebuild the bootloader using the Repair option.