Puppy Linux now has Windows installers (as .exe files): http://puppylinux.org/main/Download%20Latest%20Release.htm#winEXE
It takes care of installing GRUB to boot it and also takes care of adding Puppy to your Windows boot menu so you don’t have to carry around a USB (or CD) to boot off of on your old, slow laptop that was brought back to life by Puppy.
Puppy Linux is a lightweight Linux distribution meant to run as a live USB or CD. This means that your whole system is stored on the CD or USB so you can carry your whole OS wherever you go.
Because it’s so light (165MB for a raw installation) it’s wonderful to run on old or underpowered computers. I personally have loaded Puppy onto my ASUS EeePC that has a 16GB SSD and a 1.3GHz single core Atom processor alongside Windows XP (I’m too cheap and it probably can’t handle an upgrade but Windows has it’s uses sometimes).
Part of the secret to Puppy being able to bring old PCs back to life is that it runs entirely from RAM.
On boot, it loads the system image into RAM and it stays there until you shutdown or tell it to save it’s current state to a file. This means that whenever you access a program, Puppy doesn’t need to go to the hard drive to start the program, but can launch it immediately.
Lucid Puppy (there are many different kinds of Puppy) has compatibility with the Ubuntu Lucid repositories so there’s lots of choice in what software you can add.
Windows installers like this one are wonderful ways of introducing people to what Linux is like.
And as extra, one for Ubuntu: http://www.ubuntu.com/download/desktop/windows-installer