Purchase or download the 3 disk set (unlike windows, there are a wealth of applications that come on the disks and don't have to be purchased separately)
Insert the first disk into the cdrom drive and boot.
The installer will shrink an existing partition to make room for linux or will use empty space. simply tell it where you want linux to be installed.
The installer will detect the presence of a windows bootable partition and will set up a multi-boot system so that you will have a choice of operating systems when you boot.
Security updates and bugfixes are lodged in mirrors around the world, automatically updated from the Mandrake master database.
To fix a security hole, simply open the application that is on your desktop for that purpose, give it your root password when asked, and you will get a list of updates. Select all or any of them and click on "install"
I have had to purge my son's windows system several times because of malicious code that got "drive-by installed". I have never had to do so with linux.