Giuliano, you don't mention how it is that you are trying to install Windows into your computer. Does it have a CD drive? If so, you must insert the intallation CD and press or while booting to enter the BIOS config and enable boot from CD (do not set it as default boot medium) and then or to access the boot menu. Boot from the Windows CD. It's possible to make a bootable USB drive too but I won't dwelve into it. It will be required later.
What is VERY IMPORTANT is that previously you must make a partition for Windows. This is probably the culprit.
To do this you must first use Gparted to reduce the Ubuntu partition and make way for a Windows partition. !! SAVE THE CHANGES!! Then you create a new NTFS partition in the empty space. For good measure, format it as NTFS.
For good measure, in case something goes wrong, download the image of the Ubuntu you are running and make a live CD or USB drive. In any case you will need it to repair GRUB after you install windows.
Shut down the computer and boot into the Windows CD. You will be able to install it into the empty NTFS patition. After Windows is installed, you will find that you lost the ability to boot into Ubuntu; Windows will have overwritten the boot sector.
To remedy this, boot with your Ubuntu Live CD (or better yet your bootable Ubuntu USB). To reinstall GRUB follow this link: http://www.webupd8.org/2009/12/how-to-recover-grub2-linux.html. If you have a Live USB and allowed some space on it to install some programs, find "Grub-Customizer" with a G search and install it in your USB Drive. It has a nice and intuitive graphical interface and will allow you to repair grib in a minute. Choose your default boot system and you're done.
If you need more detailed explanations, let us know where you're stuck.