You can also write a Ubuntu ISO to a USB stick and boot from that much like a CD, that includes the option to install the distro should you decide to.
Other alternatives to Windows would include something like Puppy Linux, its about a 95mb download depending on which version you wish to download.
Ubuntu, Xubuntu and Puppy are my recommendations.
Check out my Xubuntu screenshot to see what Xubuntu Linux looks like.