I assume you mean the Windows utility that is included on Ubuntu CD/USB. I haven't seen that one in a while, but believe that this button does nothing special to install Ubuntu (in fact, it can't). It simply tries to tell your system to reboot, which is something you can probably do by other means.
What you actually need to do to install Ubuntu (or any other operating system) is to make your computer boot from the medium. If you tried restarting your computer with CD/USB in and you still haven't seen Ubuntu menu, your machine is apparently not configured to do so.
So you need to tell your BIOS to boot from CD/USB. How exactly this is done? I strongly recommend reading up on this on your PC or motherboard manual, but generally there are two approaches:
Only opportunity to enter BIOS or boot menu is when the machine is starting, just for the first few seconds. Watch messages shown on screen for the shortcuts.
Warning: If you are planning to install other OS on your machine, be aware that:
Ubuntu, or any other OS will need at least one partition on your disk for
itself. (I believe 10GiB will suffice for Ubuntu.) The easiest and almost
risk-free way is having separate physical disk for this
You can also resize partition(s) on your old disk (e.g. using
GParted, which is present on Ubuntu LiveCD/USB) to make room for
new one, but in that case, do full backup of your data. It's quite
easy to blast everything irreversibly this way!
If you get to resize (shrink) an existing partition, don't forget to
do this before starting:
This will speed up the process and lower risk of failure.