I've installed coLinux a few days ago, and felt like writing a howto, so here goes:
coLinux is a new windows daemon program. The purpose is to run the linux kernel as a native windows thread, and thereby one is able run native linux within windows.
Your main issue is properbly performance.
X apps performance is bad, but useable.
Ordinary apps run just as fast as real linux. actually genlop shows that several of my emerge's went faster in coLinux, but that could be my fault.
As for stability i havn't had ANY issues at all. Not a single crash, memory-leak etc.
Installation
coLinux is still in it's ealy stages and i'm kinda n00b at writing howtos, so now your warned.
You only need to download the lastest snapshot from http://colinux.org/snapshots/ (i used coLinux-20040417.exe).
There a several bugfixes nice bugfixes in the snapshots so i recommend that you use these.
The .exe file is a installer program which is able download a basic distribution image from sourceforge (gentoo/debian/fedora).
Now start the .exe. Just leave the default values, expect when you choose distribution ofcourse
The will be downloaded to the installation dir, and is called gentoo-i586-ext3-2g-deluxe.bz2.
Extract this file to whereever you got room for a 2gb file (i've read that shouldn't be spaces in the path to this file). After this you can delete the .bz2 file.

Configuration
There is only a single configuration file, it's located in the installation directory and is named default.colinux.xml. Open it with, and make it look something like this
Code:
<?xml version="1.0" encoding="UTF-8"?>
<colinux>
    <block_device index="0" path="\DosDevices\e:\gentoo-i586-ext3-2g-deluxe" enabled="true"></block_device>
    <bootparams>root=/dev/cobd0</bootparams>
    <image path="vmlinux"></image>
    <memory size="256"></memory>
    <network index="0" type="tap" name="TAP"></network>
</colinux>
Change the path to whereever your extracted the image, and set how much memory your what to allocate to coLinux.
Now you can boot coLinux by double-click on colinux-daemon.exe, but most people want networking, so we should do that first.
Go to "Control Panel->Network Connections"
Click on your internet connection, and then ctrl+click on your new TAP network connection. Then rigth click, and choose "Brigde connections". Now windows should create a bridge. If you still have internet connection in windows, then it proberbly works.

Now your ready to doubleclick colinux-daemon.exe and see the magic.
Your now booted in a basic gentoo-linux, with programs like Xfree, Xfce4,gaim, kernel-2.4.26 and other basic stuff emerge'd.
Login as root with no password, set the root password. Check that networking is running, and then start sshd, and ssh into it with Putty, cygwin to get a proper terminal. Now your can do emerge sync or whatever you what.
Ready to use

Adding a swap partition
Download a swapfile from here . The file name indicates the swapsize.
Extract it to whereever your got room, and add the following to default.colinux.xml.
Code:
<block_device index="1" path="\DosDevices\e:\swap-file" enabled="true"></block_device>
(index="1" means that it will be mapped to /dev/cobd1).
now (re)start colinux, and type "mkswap /dev/cobd1" and add
Code:
/dev/cobd1              none            swap            sw                      0 0
to fstab, and type "swapon -a" to use it without rebooting colinux.

Accessing your linux partitions from coLinux
http://colinux.org/wiki/index.php/coLinuxFAQ#A3 explains the basics. After reading that i ended up with following config
Code:
<?xml version="1.0" encoding="UTF-8"?>
<colinux>
    <block_device index="0" path="\DosDevices\e:\gentoo-i586-ext3-2g-deluxe" enabled="true"></block_device>
    <block_device index="1" path="\DosDevices\e:\swap-file" enabled="true"></block_device>
    <block_device index="2" path="\Device\Harddisk0\Partition5" enabled="true"></block_device>   
    <bootparams>root=/dev/cobd0</bootparams>
    <image path="vmlinux"></image>
    <memory size="256"></memory>
    <network index="0" type="tap" name="TAP"></network>
</colinux>

now i can use "\Device\Harddisk0\Partition5" (my "/" partition) through the /dev/cobd2 device in coLinux, for example "mount -t reiserfs /dev/cobd2 /mnt/linux".
Remember that this will only work with partitions that windows dosn't use. Those you need to access through smbfs.

Increase the image size
Download topoenlarge-0.5.zip from http://hem.passagen.se/svto/tlinux/files/, unzip it, and run topoenlarge.bat. check the "find file" radio button, and press the "enlarge file" button. When you found the file and pressed "ok" the file should be enlarged. Remember that FAT32 can only handle up to 4gb (2^32bytes) files.

Thanks goes to
The guy who made the gentoo-image file.
The coLinux wiki