Are you new to Linux generally? If not, SLiTaz is a small but feature-full Linux distro, written mostly in scripts for speed, that is growing by the day. There's a wide variety of workstation applications, server software, a package manager and an active community all squeezed inside the ~30MB CD image.
The developers are working toward v3 as we type this. Both developers & community are helping with a big push for fresh documentation, aimed at both seasoned SliTaz/Linux users and new additions to the community. You can find examples of the current documentation at: http://www.slitaz.org/en/doc/
I think a better way to learn linux is to install a virtual machine in windows. You don't need to worry about your system and data, and can do whatever you want to linux.
No: If you partition your hard disk to accommodate your other OS and SliTaz together, it'll be fine. At boot-up, you pick which OS you want to use during your session. Yes: You can, of course, overwrite the existing OS and start afresh.
I may be wrong, but you have not used Linux, or any other OS, before?
I too recommend using VirtualBox to play around with Linux from inside Windows. You can install them on to a virtual disk (a normal file that VBox treats as a hard disk) and experiment. It will, of course, be slower inside virtualisation software as you computer is having to do 2x the work (your host OS, and then the virtuaised one).
@Jannik : Apart from using Virtualatization, SliTaz can boot from LiveUSB too. If you have a spare USB, I would recommend installing slitaz from windows on USb and then boot it and enjoy it (without worrying any data loss to your windows system).
You may like to follow documentation here : http://doc.slitaz.org/en:guides:liveusb Just download the standard version Windows installer (from the link) and follow the instructions