You need a copy of an OS to run on the Virtual Machine. If you want a Windows VM, you need Windows, if you want a Linux VM, you need linux. If you boot a blank VM, it will be as if you start up your PC without any OS installed. It'll say something like 'Operating System not found' and halt.
You could set up you PC with Linux and run a version of Windows in the VM. For older games, 98se would be a nice choice. Especially if you allready have that licensed in your possession; if you're trying to save on an XP license, using a VM is no good, you still need a license to run XP in a VM.
Installing and using Ubuntu is a breeze. You'll probably be up and running within the hour. Check out
the Ubuntu Guide when you've installed it. It'll tell you how to get stuff like codecs running!