Download whatever distro seems interesting, if tails is something you want to try then try it I actually had a similar introduction to Linux but I doubt youd stick with tails as its not a daily not to say tails doesn't have its place. I personal like arch distros and if your moving from windows you'd probably like KDE plasma. Using Linux won't instantly net you privacy, this is something that you'd need to pro actively aim to be private, like what is the URL for the pirate bay, 1337x, can I trust this torrent? Which browser do you use and search engine, what torrent client can be trusted.

I'd recommend using transmission, qbittorrent or anything Foss with half decent user base. VPN you've got proton free, mullvad costs but I'd say its worth it or you can tunnel through tor network. Distros you've got lots of options, recommend you look at distrowatch or youtubers like distrotube. Find a small pall of trust worthy torrent sites and names of trust worthy repackere, fitgirl, dodi, jc141 to name a few.

But most importantly. Make sure to seed 🙃