hello and welcome to the forum!
pclinux can be tested as a livecd without installing it, all you need to do is burn that iso file to a cd and boot the pc from that livecd, nothing will be installed or modified in your hard disk if you don't want it
if you want to install the os in the hard disk you can keep both os(windows and linux), if you want help to do this, let us know and we will guide you
about testing it on a virtual machine under windows i recommend you virtualboxhttps://www.virtualbox.org/wiki/Downloads
it is the most simple tool you can use for this purpose, just create the virtual machine and then point it to the iso file you downloaded, if you have problems following the steps to create the virtual machine let us know