To get the environment that it sounds like you want (Linux and Windows programs sharing the same desktop, cut/paste, etc.), I recommend (as others have told you) installing and running Linux in a VirtualBox virtual machine.
Then install the
X server from Cygwin (building Windows executables using Cygwin isn't for the faint of heart, but the tools are great).
Once you have the X server set up, you can run the virtual machine (you don't even need to run another desktop) and leave it minimized. Run the X server in multiwindow mode, then use Cygwin's xterm to ssh to the virtual machine and run Linux desktop applications. The applications will appear on your Windows desktop alongside your running Windows programs. You can give the virtual machine access to portions of the Windows filesystem using shared directories. I use this setup at work for software development and the whole thing's pretty robust.