It's usually a good idea to dual-boot Linux with Windows. That way, you can choose to log on to the Windows-partition when you want to run Windows-programs (some people want to do that).
You want to use a so called "live USB". Basically, that lets you install a small operating system on to a USB stick, then choose to boot your computer via the USB (press F2 at the first screen right after you turn your machine on. Then navigate your way to the boot sequence. Look for the device you want, and move it up the priority list).
When you are logged on to your computer through the USB, you can install the operating system on to your hard (or solid state) drive(s) (ubuntu comes with a wizard to guide you through the process of installing). Shut down, remove the USB, and you will, if all went right, be able to boot your new ubuntu partition. You might have to change your boot sequence (press F2 at start up, etc.).
It is necessary to install ubuntu via a remote device, because you can only change the file system on devices that are not mounted.
iso for xubuntu (recomended for desk-tops): http://xubuntu.org/getxubuntu/
how to set up a bootable USB:
http://www.ubuntu.com/download/desktop/create-a-usb-stick-on-windows