This brief tutorial assumes you have an existing version of Windows installed, and that you want to upgrade to a newer version.

Why?

Progress.  The newer OS (Operating System - Windows) may not yet be the better one, but most likely people will eventually move to it.  As patches for the OS are released, it should become a better OS.
Features.  Newer OS' features are usually better and more of them.

How?

1. Usually, this process is pretty easy.  Since you already have Windows installed, you should already have access to your CD-ROM drive.  Just insert the new Windows CD. If you have autoplay enabled, the CD should start to run automatically.  Then just choose that you want to upgrade.  If it doesn't run automatically, just go to My Computer, then double click on your CD-ROM drive.  If it still doesn't run, just double click on setup.exe, and it should begin installing!
*Note - It is very important that you use the Upgrade CD for the new operating system.  If you are using the Full CD, some versions of Windows will actually not let you upgrade, even though it is the Full version! 
**Note 2 - If you are upgrading to Windows 2000, it will give you two options - "Upgrade to Windows 2000" or "Install a new copy of Windows 2000."  If you choose upgrade to Windows 2000, it will upgrade Windows to the 2000 version (probably what you want to do), but you may not be able to go back to the older version (I don't think you can, but not sure on that).
If you choose Install a new copy of Windows 2000, it will allow you to boot to Windows 2000 OR your other version of Windows whenever you start up your computer. Your other version will remain fully functional. For Windows 2000 though, you will need to reinstall all your software. This will also take up twice as much space on your hard drive for the operating system!

2. Windows will begin to install, and most questions it will ask are pretty basic.  Within an hour, it should be completely installed. 
If you are installing Windows 2000, it will ask if you want to use NTFS or FAT 32.  FAT 32 is the traditional storage system, and for home users that will probably be your choice as you will even have access to your files when booting to a DOS boot disk if you ever had problems. NTFS is more for the corporate environment and provides additional security.  Windows 2000 will also ask for an administrator login and password. Make sure you remember these or you won't be able to get into your computer!  :)
That's it, enjoy your new version of Windows!