About Linux, it's something I want to get around to playing with in the future, but I don't yet know how to burn to a CD or partition a drive.
The fact that Memtest86 is on the Ubuntu disk sounds like a good reason to me to get such a CD. Even when you don't know Linux, you can use Memtest86 from the CD: "memory test" is one of the options in the very first menu you get when you boot from the CD.</shameless Linux promotion>
To get an Ubuntu CD, you either need to buy one or burn one. You wrote you don't know how to burn a CD, but it really isn't that hard. Of course you need a CD drive that can burn CDs, but I think most computers have one. Next, you need the software. Usually, when you buy a computer with a CD burner, or when you buy a CD burner, CD burning software is already shipped with it. "Nero Burning ROM" is a popular one. Using the software usually isn't very difficult, and the worst thing that can happen when you do something wrong is you've wasted a CD-R. And CD-Rs are very cheap.
Even when you don't have special CD burning software, windows XP has built-in support for burning CDs. Just inserting an empty CD-R will give a window with an option to launch the software.
When you download an Ubuntu CD, the file you download is a CD-
image. You need to choose an option in the software to create a CD from an image file: simply copying the file to the CD isn't sufficient. Usually, from-image-to-CD is one of the standard wizards in the software, so it isn't really difficult. OTOH, I'm not sure whether the built-in CD-writing feature of windows XP has this feature.