Having more than one OperatingSystem installed on your computer's hard discs 1?, with a method to choose which one at Boot time.
If you're new to Linux, this is a really good way to get used to it. See also PartitioningSuggestions.
Loading Linux off a live CD (KnoppixLinux etc) isn't technically dual booting.
New Linux distributions like Ubuntu Hoary and Mandriva make this really easy - both will allow you to resize your MicrosoftWindows Partition for you to make space for a Linux partition. Almost all distributions will at least, if nothing else, install their BootLoader in such a way that it can chain the Windows bootloader and give you a menu asking which operating system you'd like to start in.
After a while of dual booting, you'll find the default changes from "Windows" to "Linux", and that you never actually use your Windows setup unless you play games. :) (Gaming is the primary reason a lot of people keep their system DualBooting; however see GamingOnLinux or buy a console already.)
1? normally two, hence 'dual', though this practise refers to any number greater than one.