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sheprd, which Linux OS did you download and where did you get it? And what's the name of the Linux file? Nearly every linux OS gets downloaded as an ISO file. Unless you've got a CD/DVD burning program capable of burning ISO's, windows isn't going to have a clue what to do with it.
So how about a link to where you got it and we can then tell you what to do with it.
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Thanks DVOM for your response. I downloaded Linux : UBUNtU from a Linux website, don't remember just where. I downloaded the IOL file and sent it to my DVD Drive. I can run the Linux from the DVD Disk. I kept trying until I moved the Linux to my main HD as an Application. When Booting up I can select Windows 7 or Ububtu to open Works pretty good but crashes my Windows 7 frequently. Think I'm going to have to remove UBUNTU. I tried to use an External HD but my PC wouldn't recognize the HD. My next effort will be to try to install Linux on a Flash Drive I'll post back if sucessful.