Yeah, when you install it on a PC that already has windows you get an option to have what is called a "dual boot", meaning when you turn the PC on you'll be presented with an option to with OS to boot to, each will have it's own partition.

I honestly recommend not even doing that, just replace the whole thing (also an option), though a dual boot is interesting to just test it out, you can also just test out linux by booting up the installation media, it runs a "Live" version of it, completely functional with some preinstalled apps.

Linux will have to be on it's own partition, which will have to be on a different filesystem than windows(EXT4 usually), but you can mount any drive/partition within Linux(even if they're in the MS NTFS file system) and write/read files as normal, so files downloaded on linux will be available on windows and vice versa, you cannot access the Linux partition from Windows though.

When it comes to software you install though then yeah, Linux software will only run on Linux, you can run Windows stuff in Linux tough, using a compatibility layer called Wine, works pretty good with almost anything.

Though, unless you use very specific specialized software, you're bound to find open source stuff that runs natively on Linux to replace any and all applications you make use of on Windows