What @Zoid saidAs for setting up Linux, you won't be able to download Linux straight onto your PC. When you boot up your PC it will just boot into the BIOS, which doesn't have a way of going online and downloading files until an OS is installed. You will need to use another computer to download your chosen Linux installation media and create a bootable flash drive.
The broad process is that you download the Linux ISO file, and then create a bootable USB stick with that ISO file. You plug the USB stick into the PC, boot from that, and away you go.
There's a guide on how to create a bootable USB for Ubuntu on mac here, using Etcher:
Ubuntu is an open source software operating system that runs from the desktop, to the cloud, to all your internet connected things.
I'm not 100% sure what, if any, additional steps there are for making the USB bootable on a PC versus a mac though. Having never used a mac...
There are other guides e.g. using Mac's Disk Utility to do it or UNetbootin. It's clearly possible though