Preempt_RT is a patch for the Linux kernel maintained by Ingo Molnar. It modifies the kernel so that it becomes (almost) completely preemptive. The classic kernel spinlocks are replaced by mutexes which support priority inheritance. In addition, the handling of all interrupts is outsourced to separate kernel threads. The presentation Linux und Echtzeit (German) by Jan Altenberg offers a very good and short summary regarding the two variants Preemt RT and Xenomai.

1. Choose a machine. See Tested devices for reference
2. Install a Linux distribution. You can use UNetbootin to create an bootable Live USB drive.