Creating Live CDs
The Linux file that you download should be in an .ISO format. There will also be an accompanying string of characters called an MD5 sum. An MD5 sum looks something like this:
a98fb9823414dc3d33c5e53f120c0339. An MD5 sum is a kind of code that lets you check whether the file was downloaded correctly or if there was any unwanted tampering with the file. It is good to always check that the MD5 sum of your downloaded file matches the expected MD5sum that should always be mentioned on the web site of the Linux distro.
How to check the MD5 sum of a file
If you are using Windows, you can download a tiny free program called MD5 GUI. Extract the file to your desktop and double-click on it to start the program (it doesn't install to the computer). Click on the option to 'generate checksums'. Then just drag and drop your downloaded Linux .ISO file into the MD5sum program. It make take a few minutes, but the program will display the MD5sum of that file. If it matches the MD5sum that the web site of the Linux distro says, then the file is ok and you can burn it to disk.
There are many different distributions of Linux to choose from. I am creating a custom Linux live CD that is optimized for what travelers who are new to Linux need. Until it is ready I recommend using a live CD called Ubuntu.
SLAX Linux live CD
You can download SLAX here. SLAX is good to start with becuase it is easy to use and not a large download compared to Knoppix. If you have already tried SLAX and want to experiment further, the following are some other recommended types of Linux live CDs:
Other live CDs
Knoppix Live CD
Knoppix is a great Linux live CD. It is a large download so you will need a high-speed connection for this one. It is an almost 700 MB download so it may not work for you if you only have a dial-up connection. If you only have a dial-up connection, you may be able to find an Internet cafe with a high-speed connection.
These instructions will help guide you through the process of making your own Linux live CD. Basically the process involves downloading a Linux disk image file in .ISO format, and then burning the disk image to a CD in a special way.
If you have any difficulties, ask for help in the forums and I will try to answer your questions there.