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To be a bit more helpful, you don't 'program Linux' and there's nothing that Linux can intrinsically do that Windows can't (nothing you're looking for anyway). So I'd stick to making browser games using software on Windows.
Linux is free mate.
> where from and how?
You can download the distribution from the internet and then burn it to a cd. There are quite a few distributions you can choose from, but im not well read on Linux so i cant really go into the pros and cons of each.
> Can you run Linux on a dual-boot setup with XP?
I believe so.