That's not a stupid question at all, it's a very important one :)
Forgive me if you know some of the below, but I wouldn't want you to lose your windows environment unexpectedly.
If you only change that option, (and don't install linux) I think windows will still be happy to boot.
If you do boot linux, so long as you are booting a "Live USB" disk (i.e. not an automagic install disk (those are not common)), and DO NOT choose to install linux to your hard disk, then windows should continue to boot fine.
Live CD/USB disks usually let you play around with a linux environment, but where no changes will be saved beyond a reboot.
If you do wish to install linux, you can either overwrite the whole disk (which will destroy windows, all files & apps) or, with some preparation you can split your hard disk into partitions to "Dual boot" windows & linux. You'd have a DOS-like screen to choose which to boot when you power up.
You might find your laptop came with re-install disks for windows, or perhaps Dell or Microsoft have tools to let you make one. I'm no expert on backing up a windows environment, but you should consider stuff like your files, applications, and any product keys for software like office etc. I'm sure there's a bunch of good stuff on the internet covering what you'd need to back up.
If there's nothing you want to keep from windows, then you're fine ;)
Its been a long time since I've tried to dual boot, it was never as simple as it ought to be.
Dual booting with two separate disks was usually simpler, but might probably not possible in a laptop, unless you add a usb HDD and install to & boot from that.
If you want to keep both windows and linux, a Virtual Machine might be a good alternative, but the performance of linux will be slower (how much slower depends on how powerful the machine is).
VirtualBox is free software for running Virtual Machines; performance shouldn't be that bad if you just want to play around.
With VMs you won't risk losing anything from windows, and also won't need to change the boot options.
Good luck :)