Good day!
About ur 3rd question, you must not unzip the .iso file. It won't work if you burnt the iso just like a regular file, so start your favourite CD-writing software and find "Burn image" or "Burn CD iso image" option. It could be hidden somewhere because people usually don't need to use this option.
Sometimes you will need to change the file-type filter to *.* else you won't be able to see your .iso. The resulting CD will be bootable, you don't need to specify that feature separately.
Don't unpack or unzip the archive, burn the ISO as described above else you will lose the bootability.
About ur 1rst and 2nd question, it is possible. But it's not really a complete Linux Distro. It is just a Linux-like environment for Windows. Most newbie use this way. Cygwin is the name what I referring to. You can download and install it at http://www.cygwin.com. For more info about "Cywin": http://www.redhat.com/software/cygwin/
If you really want to use a complete Linux OS, then you must use ur 3rd question.
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For God be the Glory!


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