I believe you need to make a CD/request a CD before you can install it. Some Linux Distros like Ubuntu (depending on what ISO you downloaded) allow you to install while running the live OS off of the CD. Otherwise, if you need help burning an ISO to a CD and make it bootable, any recording software/open source software that can record ISOs/Window XP and Vista's burning software will do the work for you.
By the way, if you are going to download Ubuntu, if you are in the US, I recommend downloading from Gigenet (I've seen this host max out a T3 connection at my school when the net was at full speed there. I was once testing out the speed at school away from Speakeasy and Speedtest.net, and I was getting pretty much 4MB/s off of the net at school. At that speed, it would only take 3 minutes for me to download Ubuntu), or the Rochester Institute of Technology (also a very fast host).