Ya sure can, have a look at this linkyhttps://help.ubuntu.com/community/Installation/FromUSBStick
You'll also be able to install inside a virtual machine like virtual box http://www.virtualbox.org/
inside your existing operating system, although virtual machines aren't as good as the real thing ( a native install ).
There's other installation methods but they're much more advanced. A USB install is the easiest way to install besides having a cd or dvd.
Don't use WUBI it sucks