Guido, if you open that DVD in Windows Explorer and you see a file named something-or-other.ISO, then you don't have a bootable disk. Google "burning iso image" and you'll find a lot of info on how to make a bootable image.
Once you have a bootable image on the DVD, you may still need to change your BIOS settings like Duner says. First you need to turn off "fast boot" if it's enabled. Then make sure your DVD drive is before your hard disk in the boot order.
If you're not certain whether or not you want to go with Linux, consider buying a second hard disk and installing Linux on it. At any rate, you'll want to back up any files you want to save before installing the new OS.