Search the forum on how to install Linux and Windows on the same machine (on the same disk or separate disks) as this topic has been covered many times.
"Hard" and "Easy" are subjective terms in this context

Many people regard windows as being easy due to the GUI, however the UNIXes and LINUX have well developed and just as easy to use GUI's. Anything can become easy, it just takes a bit of time and patience to become familiar with something. *IX has the pretty GUI capabilities combined with the good old command line which is the qucikest, most powerful and versatile method of interfacing with a much more stable operating system.
You need a CD burner in order to copy the operating system(s) that you download from the internet onto a CD which can then be used as to install from. If your burner is not working, then you can always order the CD's of the relevant operating system from the websites mentioned.
I'm not sure what you mean by is it "telnet" or DOS. Both Windows and *IX have telnet capability, it's a universal means of gaining access to a machine. *IX has games, I am not too sure on the level of sophistication and development with regards to that however, if you're spending time playing games on a *IX machine I believe you're really wasting it's potential and missing the more fun stuff
Regards.