It is not enough to just download the ubuntu iso to a usbflashdrive. Also you have to use unetbootin , lili, or another live usb creator to make a live usbflashdrive. Afterwards you can install ubuntu by booting your computer from the flashdrive. (You may have to change the bootorder in your bios, as long as the usbflashdrive boots before the hdd, you'll be ok.)
If you are planning to install ubuntu and remove windows choose use entire disk during the ubuntu installation, windows will be removed.
If your machine can't boot from usb burn the ubuntu iso onto a dvd and follow the above instructions. (Boot dvd before hdd.)
If you would like to dualboot windows and ubuntu follow these instructions on the ubuntu documentation site: https://help.ubuntu.com/community/WindowsDualBoot. Make sure, before you start the dual boot install, to make space for the ubuntu install from within windows (disk manager).
lili: http://www.linuxliveusb.com/
unetbootin: google it because I'm not allowed to place more than two hyperlinks.