All operating systems we tend to use have filesystems. A filesystem is a methodology for writing data in a way that the OS can read. Windows included.

When you install a new OS, such as linux, you must choose how to allocate your disk space. You can use the whole disk - which would format and rewrite the system to be compatible with the flavor of linux you chose - or you can reallocate space on the drive if you have enough. This will move around the available free space, create the filesystem I just mentioned on that free space you designated, and leave your old windows files intact.

You can now interact with these from the Linux side with the right commands (mounting the windows partition and gaining access). You could even "dual boot," which would allow you to choose which OS you want to go to at startup.

I've HIGHLY simplified this since it's just a quick explanation, but that's the gist of it. There are obviously more scenarios, pitfalls, etc.

When I was first starting out in like 1996 or 1997, I was running FreeBSD 2.2.2. I accidentally wiped my system so many times that I stopped caring what got lost. It took me a while before I understood what the hell I was doing. Poring over man pages and instructions to figure it out.