If I understand the question correctly, the thing you are worried about is losing your files when installing Ubuntu. There are three solutions to this problem:
Running from a USB stick
As this is specifically what you asked for, I will describe this method first:
- Install Ubuntu on the USB stick.
- Turn off your computer, insert the USB stick and turn it on again.
- You may have to enter BIOS setup and change the boot order to make the USB stick higher priority than your hard drive. The exact process varies from PC to PC, but it is described for the Dell Inspiron Duo here.
- Your computer should automatically start Ubuntu off the USB stick now.
There are however a few downsides to this if you're planning to use Ubuntu on a daily basis:
- Running an operating system on a USB stick is significantly slower than running it on a hard drive, and you will notice this.
- The available space on a USB stick will also be significantly less than on a hard drive, and with daily use you can may quickly run out of free space.
Installing Ubuntu inside Windows
A second method is to install Ubuntu from within Windows using Wubi. The installer will install Ubuntu alongside your existing Windows installation, so that your existing data is preserved, and you can easily uninstall it like any other application. When you start your computer, you will be able to choose if you want to boot into Ubuntu or Windows.
Installing Ubuntu normally
By default, the regular Ubuntu CD installer will repartition your hard drive in such a way that all existing data is preserved. So even if you install it this way, you won't lose your files in Windows, and you will get the option to boot into Ubuntu or Windows when you start your computer. This is very similar to installing Ubuntu inside Windows, except that you can't uninstall it as easily.