Hmmm... Let me try to help.
One doesn't "run" Linux under Windows, although you might boot Linux in a virtual machine that was hosted on a computer running windows (but let's ignore that possibility for now).
Download the TinyCore ISO file rather than the .gz file.
To run TinyCore on your system, burn TinyCore to a CD and boot your PC from the CD. Two preliminaries for that...
1) You can't just "save" the ISO file to the CD. The ISO file is an "image" of a CD, so you need to burn the CD from the image. The details of how to do so will vary depending upon the CD burning software you are using, but either Nero or EasyCdCreator (and probably every other CD burning program) can do the job.
2) Your system's BIOS must be set to enable booting from the CD drive.
Then you should be able to just put the CD in and restart your PC. It should boot up with TinyCore and not mention anything about Windows. Windows will still exist on your hard drive and will be completely unaffected by TinyCore - the next time you reboot without the CD in place (assuming you would ever -want- to do that
), your computer will run windows as if you had never defected to the Linux camp.
Also, browse the various documents and the wiki on tinycorelinux.com.