Good news - the public beta of Vista is now available. As I've mentioned earlier, it's pretty easy to get it up and running on any computer from the last couple of years, but definately don't install it on your primary work computer :)
If you order the DVD, then obviously you'll need the DVD. If you choose to download the ISO image instead, you don't need a DVD. If you first install XP, you can then mount the ISO image and run setup from there - once the system reboots it never checks the "DVD" again. That's how I've been doing it.
If you don't have software to mount the DVD, you can use this free one from Microsoft. It's pretty basic, but it does the job.