Are you trying to install this on your desktop?
So there are a few ways to do this. You can download the Ubuntu iso and use a a program (I like Unetbooting) to create a live USB. Make sure you select the image you want to use. Don't select use the top option that selects the version of Linux. I've also had the best luck when the USB is formatted to FAT32 prior to creating the LiveUSB.
If you want to simply install Ubuntu on your computer, I'm pretty sure the Ubuntu installer can run directly in Windows, where it will create a partition for the new OS and install it. Then when you reboot, you can select what OS to boot.