Virtualbox VMM : https://www.virtualbox.org/
Ubuntu 32-bit ISO: http://www.ubuntu.com/download/desktop
In this video, the viewer is walked through the set up of a virtual machine to run linux on a Windows computer. At the end, a hello world program is written and run at the command line through a terminal window in Ubuntu run under a virtual machine on a windows computer.
NOTE: This video may be out of date. I've received several comments about problems viewers have had with the video. I will be looking into it at some point and posting an updated version. Until then, this video is left as reference.