If you put Linux on it, it would be best to take Windows off of it. It's not that they can't coexist, but they just can't run at the same time.
Actually, I'm not sure if you should take Windows off... There's some freaky stuff about Wine, I havn't touched it yet, but I've read some things about how it uses windows's regestry and stuff when it runs windows programs....
If you did use Linux, though, it would be best to have that run all the time. One reason is that programs like Appache run in the background, meaning they run all the time, unless you tell them to stop(using the kill command) or if you turn off your computer. There's a program exactly like WinAmp for Linux, I think it's called XMMS or something. But the plugins and everything work the same, or so I've read(For my computer, I just use the standard CD-player program, I don't have any MP3's on it because well, I havn't gotten a filesharing program on it yet...