I think you misunderstood. Ubuntu doesn't run under Windows.
It replaces Windows usually. You can also repartition the disk
and have a system that can be booted into either Windows or Ubuntu.
And then there are other ways to use it also, naturally. Most people
who want to try it out download a live CD image and burn it to a CD
which requires an image burning application which is available off the
web also. Once you have the image on a burnable CD you need to make sure
you PC or Laptop can boot from the CD drive as the first choice. Put the
CD in the drive and restart the PC, it will boot from the CD and let you
try Ubuntu. If you then want to load it on you PC it will repartition
your drive and replace Windows ans the operating system. The other
option is to set it up as a dual boot system which I have not done yet.