Best way to test and experiment Windows 7 is to install it as virtual machine which frees Dual Boot as well as you can instantly switch between 2 OSs or simultaneously operate Windows 7 (Guest) and Windows XP (Host). After successfully installing Windows 7 on windows XP using Vmware Player.
Since most the people are installing Windows 7 in a real hardware, a DVD should be burned from the downloaded ISO image. You will need a DVD Burner, a DVD burning software and a blank DVD-R or DVD-RW to prepare the installation disk. I used a Sony single layer DVD-R as media and used Nero 8 as the DVD burning software. But for those who don't have Nero installed, CDBurnerXP is a free Alternative. You can read a more detailed tutorial about setting up windows 7 here.
Before you think about installing and playing around with Windows 7 it would be a nice idea to check if your systems supports it. You can view the system recq. here at Windows 7 System Requirements and instalation.