If you're installing it on a separate hard drive instead of a partition, you might have to tweak the boot order of your hard drives in the BIOS so that the Linux OS selection (GRUB) will show up. Else, it might go directly back to Windows.
Installed first thing this morning, been on it a few hours and finally starting to get the hang of things. still not got the "cube" working though but I think it's because I'm thick and missed something lol