It's an operating system like Windows, so you can use it to replace Windows, or set up a dual-boot system with both Windows and Linux -- a "bootloader" will run when you turn on the PC so you can choose which operating system to run.
As BluePanda says,
technically, Linux is just a kernel (kinda like the software equivalent of a CPU). GNU is a collection of utilities that emulate UNIX utilities. So Linux (the kernel) is like the missing piece of the jigsaw that makes GNU and Linux together a complete operating system.
So
technically Linux is the kernel. But in everyday use, most people referring to Linux actually mean GNU/Linux.
GNU/Linux is open-source, which means that lots of people across the world volunteer to work on different parts of it. Lots of components (called packages) are created, and if you put them together in the right way, with the right configurations you can create your own GNU/Linux operating system. Unlike Windows where you get what you're given, there's no ONE way to do that. There's so much choice!
But it's incredibly complicated to actually put these components together yourself, so groups of people work together to create "distributions" ("distros" for short) where they have chosen all the bits necessary to make a complete GNU/Linux operating system that installs itself automatically.
To install a distro, you would normally download an .ISO file, burn it to CD/DVD, and then boot from that (in the same way as if you were installing Windows). Be careful if you've never done this before -- you'll need to understand partitioning and will need to back up your data first!
If you just want to try a GNU/Linux distro, a great way is to use a virtual emulator like VirtualBox. It's a program that you run in Windows, and you can install operating systems inside it. So the "guest" operating system appears as a window on your computer instead of running on a real computer. It's an easy, safe and brilliant way to try things out!
https://www.virtualbox.org/
Two popular Linux distros that are supposed to be "easy" for Windows users are Ubuntu and Linux Mint. Personally, they drive me crazy! I prefer Arch Linux, which is much "simpler" in that it's minimalist and you set almost everything up yourself by hand. You can make it work exactly how you like, and in doing so, you learn how things work. But you need to be technically-minded to enjoy it!
There are also "live" distros, like Slax. A "live" distro is an image of a pre-installed operating system. You can boot from a CD, DVD or USB stick straight into Linux, without installing it. So it leaves your current operating system untouched. It's another easy way to try out Linux.
https://www.slax.org/en/