Getting help with Linux
As far as CD-ROMs are concerned, you will probably want to stick with those containing either (or both) the Debian or Red Hat distributions of Linux. A distribution is necessary. It is simply a collection of the various programs and applications, which make up a running, usable Linux system, along with some way of upgrading or maintaining the system. They all contain the same Linux programs and software, but each one collects them differently and has different means for installation and upgrades.
Slackware was an early distribution that was excellent for its time, but seems to have taken a back seat recently as far as popularity goes. There are many other less popular distributions, each with its own strengths and weaknesses - but for a beginner, sticking with one of the top two (Debian and Red Hat) is probably the best bet. As was pointed out on IRC recently, distributions are to Linux like flavors are to ice cream - there's much more than just vanilla and chocolate out there, and which one you eventually settle down with will depend on your own taste.
Debian GNU/Linux is a free distribution that, like Linux itself, is assembled by a loose collection of enthusiasts. Red Hat is a commercial product (also assembled by Linux enthusiasts) that most consider to be much easier to install and maintain.
Online is where all the action is, for sure! Like most free software, Linux was developed in its entirety by a virtual community on the Internet. And the Internet is where you'll always find the latest and greatest in Linux developments. You're missing out on a lot if you're not connected to the Net.
If you want, you can download Linux right off the Net onto your computer. I've done this myself, and it's still my preferred method of installation on systems that don't have a CD-ROM drive. But be warned: this could take quite some time with a regular modem connection.
The general path to take when downloading Linux form the Net is first to download a set of installation disks - typically 5-10 diskettes - from which you install a bare-bones Linux system on your computer. Then use your existing Internet connection (a modem and an ISP dial-up account, for instance) to reconnect and download the specific applications and packages that you need. Instructions on how to do this are at both the Red Hat and Debian Websites.