1) Download the .iso file
here
2) Burn the image to a disk. I use Nero, and you are burning an Image, not a Data CD (I use CD-R; I have never used CD-RW, but I don't see why it wouldn't work.)
3) When the disk is burned, reboot your computer and boot from the CD Drive (You may need to change the boot order in the BIOS. You will boot into the LiveCD Environment. When you want to install Ubuntu, double-click on the Install icon that is on the Ubuntu LiveCD Desktop. Follow the installation screens, and your next reboot should be into Ubuntu.