To install Linux, normally we use one CD/DVD containing one Linux distribution. There are so many Linux distributions, about more than one thousand, check distrowatch.com. It is NOT wise to make a CD/DVD for each OR your top 10 Linux distributions. Better is to put all your favorite Linux distribution on to a CD, DVD or USB, even you can include Windows XP/7 on such DVD/USB. After making such DVD/USB, when you reboot with that DVD/USB, it will let you to select which Linux distribution you like to use/install. For most Linux you can run lively without installing it BUT for Windows you may need to install. Hope now it is elaborated.
Because this MultiBoot USB would be created in the Linux, below are some details to install Linux.
Different Linux distribution has different ways to install. I recommend you to install Zorin OS 4. Download from zorin-os.webs.com. Burn it on DVD, restart PC to run its live system. If you are satisfied with live system then go for installation. For installation follow the installation details from this series of videos http://www.youtube.com/watch?v=Yp8A354KbLs
Installation of Zorin OS 3 & 4 is almost same.