Both Windows and Linux allow you to create and delete partitions after you boot from the install CD ( you may have to change the boot device order in your BIOS settings to be able to boot from CD).
The installer asks you where you want to install the operating system, and gives you a chance to create/delete partitions at that time before it starts the install. This means if you just want to change partitions but not reinstall the OS you can still use the install CD, but you should reboot after you have saved your partition table changes and before it starts installing.
Note that if you delete existing partitions you obviously lose all the files they contain, and if you create a new partition, you still need to format it before you can use it.