Obligatory helpful post because Lain is sacred and should be downloaded.
Since you are probably an underage B&, store your anime in a folder no one is going to use on your computer, hidden away in some random Game or unassuming folder. This anime is 13 episodes, and shouldn't take up too much room.
Download it using Utorrent, Download CCCP, watch through Media Player Classic (on Japanese if you get dual audio), and double click the screen to get fullscreen. Hit escape and F4 if you want to get out. Then just delete the series.