It is free if you download it (ISO) and burn it to a CD. Or you can buy it in a box already on CD, generally with some type of limited support.
I go for free
You can install it on your system just as it is. Just be sure that whne you go through the installer you tell it not to touch your XP drive, just the second FAT 32 drive. Linux will run on FAT32 or you can reformat it to ext2 or 3, which is native for Linux.
A lot of people say Mandrake is best for newbies, I still prefer RedHat. Scream likes Debian. Honestly I think it's like asking do you like Nestle's or Hershey's chocolate. Both are good, it's just up to your tastes.