Ryan Northrup 23 weeks ago
I should clarify that the Ubuntu website provides full instructions on how to create the install disk, boot it, and go forward with the installation:
http://www.ubuntu.com/download/desktop
That page not only provides the link to download the installation image, but also provides links that detail how to burn it to a DVD, flash it onto a thumb drive, grab the Windows Installer and install via Wubi instead, etc.

Answer
There are three approaches to doing this, and which one is best for you depends on your goals in installing and using Ubuntu:
2 and 3 will both create a dual-boot Windows/Ubuntu environment; however, 2 will require you to resize your Windows partition (which I think the Ubuntu installer will guide you through nowadays), while 3 will be slower than a normal Ubuntu installation (Wubi installs Ubuntu to a giant file on your hard drive), though it's much easier.
1 is certainly the easiest, but you'll need to be willing to part ways with your Windows installation; I'd back up the Windows product key and any files you have on there before installing.