Do you want to dual boot with windows, or are you going to go with only Ubuntu? You can do it either way. Did you get the live cd with the install cd? If youre new to linux, i suggest either dual booting, using the live cd till you learn a little about it and decide whether you like it or not, or if you have a spare hd laying around, install it on that. (My preferred method, but i have lots of hard drives) If you decide to dual boot, i suggest you back up everything you want to keep from your hd before you start. Its not that hard to do, but if done wrong, you can wipe out your windows stuff. Also if you decide you dont like linux, uninstalling and reclaiming the disk space can be a pain. Thats some of the reasons i suggest putting it on a spare drive. Theres tons of info available on linux installations/dual booting, heres a couple of places to start. Heres a good tutorial:
Ubuntu & Windows XP DualBoot
And heres another good place for info:
Installation & Upgrades - Ubuntu Forums
I think youll like Ubuntu, its a good distribution, and fairly easy to use. But its not windows in a linux box. Get ready to do some studying.