Normally we prefer to keep help here on the forum; that way, if anyone else is looking for the same answer as you, they can find it.
Linux uses a variety of file systems. The most commons are Ext2, Ext3 and ReiserFS.
If you are learning Linux, and you already downloaded Red Hat 9, you might as well stick to that. Later on, after you get the hang of it, you might then want to look around and see other flavors.
A linux install can co-exist nicely with a Window sone, so you might not need to remove your Windows partition. Just make sure you have enough extra hard drive space not allocated to anything.
If you boot to the Red Hat cd, it should guide you by the hand.