I try to change some boot option but it was not working
It's important that you provide a full description of problems; "it was not working" provides no diagnostic details. For instance, did you see any error messages when you tried to boot? Did you see an Ubuntu logo but the system then hung? Did the computer spontaneously reboot? There are many ways for a computer to fail to boot, and a full description of the symptoms can help more experienced users figure out what's wrong. (I see you posted a brief description of a message buried at the end of your question. I'll address that later....)
1- Do I have to do something after I download ubuntu 14.04 and I put it on a usb key, and before I reboot my computer? For example: to install something on the usb key?
There's no need to install anything extra; however, there are half a dozen or more programs you might use to transfer the .iso file to a USB flash drive, and they all do things a bit differently, particularly when it comes to EFI-mode booting. Broadly speaking, Rufus has the best reputation for creating EFI-compatible media, whereas Pen Drive Linux (aka YUMI and one or two other names) was worthless for this task, the last time I checked. See here for more on those and a few other tools.
2- What is the best BIOS setting to boot with ubuntu: UEFI or Legacy?
If you want to dual-boot, it's almost always best to install Ubuntu in the same mode as whatever OS is already installed. For computers that came with Windows 8 or later, that's almost certainly EFI mode. If you installed (or re-installed) Windows yourself, all bets are off. Most systems that shipped with Windows 7 and earlier boot in BIOS mode, but some, particularly from late in the Windows 7 lifetime, boot in EFI mode. If you're unsure of the current boot mode, check the partition table type, as described here. Windows supports GPT only for EFI-mode boots. Although Windows can boot from MBR in EFI mode, that partition table type usually denotes a BIOS-mode installation.
If you want to install Ubuntu as the only OS, either boot mode will work; however, on a modern computer EFI mode offers some modest advantages like reduced boot time (usually) and access to EFI runtime variables (which enable more sophisticated communications between the OS and firmware). Note that enabling BIOS/CSM/legacy support in the firmware complicates the boot path, so you should disable that feature if you intend to use EFI-mode booting.
3- Do I have to disabled the secure boot?
In theory, no. In practice, usually not; but some rare computers have EFI bugs that don't work with Ubuntu's Secure Boot support. If you have a problem, do not jump to the conclusion that it's caused by Secure Boot; based on what I've seen online, 9 times out of 10 that conclusion is wrong. The single most common problem, in my experience, is a mis-prepared USB flash drive.
4- If I do all this setting and it's still not working, do you recommand an other version of ubuntu or an other way to install it? I also try to do it with a dvd and it wasn't working. The screen flash and an error message send that there was no device to read.
Seeing the exact error message would be helpful. It could be that your computer is new enough that Ubuntu lacks drivers for its hard disk. In this case, a more up-to-date Ubuntu (such as 15.10, or even a 16.04 beta, rather than 14.04) may work; or switching to another distribution entirely might help. (I'm not sure what kernel the latest Fedora, OpenSUSE, Mageia, Arch, etc. use.)
Depending on the exact phrasing of the message, it could also mean that the initial RAM disk (initrd) file was damaged, which could indicate a failing USB flash drive or a bad download.
Yet another possibility is a hardware problem such as a failing hard disk or loose cable.
