|Don't be scared off by all the text that follows. Taken step at a time it is quite easy. Computers take lots of words if you try to cover every eventuality. I'll use Puppy Linux 4.3.1 as an example (this is the highest number version that only makes saves to the CD - which I happen to prefer for this sort of thing).|
You go here and select it from the list:
Download the file (pup-431.iso) but don't Run it, instead use SAVE and put the download into some spare folder or other. Perhaps make a folder called Puppy somewhere and send it there. It doesn't matter too much as long as you know where it is but I tend not to clutter the desktop with things like this.
So, you now have a download which requires burning onto a CD, but it is known as an image (iso) and you don't just copy it onto a CD, you create a CD from it. Almost all burning software has some sort of "create a CD from an image" faclity - although the exact wording will vary. In the unlikely event that you have no such facility there are small freebies that will do so.
Assuming you have produced the CD you then have to boot your sytem with it by poking it into the drive then turning the power on. Chances are that your hard drive will be ahead of the CD/DVD drive so it will see that first and continue to Windows. If that happens you have to do is go into BIOS and set the CD/DVD drive ahead of the hard disk.
If you are not sure how to get into BIOS then watch the screen when booting as it usually tells you. It usually refers to SETUP rather than BIOS. Commonly you either hit the F2 key or the Del key to get there. How you make the setting varies but if you make a mistake and set something in error then you can escape without making changes and have another go. Once you have done this you can keep it that way - any delay to booting will be too small to notice.
All you then do is boot with it in the drive and answer some easy questions. You can save these settings back to the CD for next time or if you want a universal CD then don't save them but put them in every time.
The Linux desktop will look a bit unfamiliar but at bottom left you should see your drives. One will be your HD which you can see even though it is not running. Everything is single click so you need to find your old Windows desktop. What "Windows" gives you is effectively a shortcut to Desktop so you will need to follow the real path, which is:
Documents and Settings / <username> / Desktop (which should show your obstinate Folder amongst other things. Right click to delete it.
Take out the CD, boot up and see if the folder arrives again, If so "something in Windows" is putting it there - though at this point I can't imagine what.
Far too many words - it's not difficult really.
Always pop back and let us know the outcome - thanks