Download the ISO from Ubuntu.com and follow the directions on the site.

Put the disc in your drive and boot up the computer. It will boot into the live environment. Live meaning it is running off the CD/DVD disk and RAM but not off your hard drive. It will not touch the hard drive at all.

You have to boot from the CD if it does not do this automatically. You may have to press a certain key to get to the boot menu while starting up. This depends on your computer but is usually F12 to bring up the boot menu and F1,F10, or Delete, to bring up the BIOS menu. You need to change the boot order of your computer to boot from the CD/DVD device first. It should say what key to press on the boot screen. :) Have fun!

Alternatively WUBI installs along side your main operating system and can then be accessed as an option from the start menu. It then runs in side windows, and can be uninstalled at any time later.