Ubuntu is an OS, and so it needs to be installed first on your computer. Or else, you can test-drive it on Live mode, that will get automatically started if you boot from the CD, DVD or any other installation medium. You can also download Unetbootin, a program that creates a pendrive with ubuntu installer loaded on it.
Since you are new, I suggest you first run it live from CD, as misery said. You can also use Wubi, or WIndows Based Ubuntu Installer, which doesn't create any additional partition but just installs Ubuntu like any other program inside windows. Install it using Wubi and set your preferences such as username, password, how much space you want to give it, etc. and reboot. The boot menu will how you the option to boot into Ubuntu.
But this doesn't give you the full experience of Ubuntu, as the speed will be slightly less.
And as for backtrack 5, it's another linux distro mainly aimed at breaking security etc. You will have to install it otherwise, to get full experience. Or else, you can perhaps install Back Track 5 tools on Ubuntu. See this thread: http://ubuntuforums.org/showthread.php?t=1761143
And by the way, welcome to Ubuntu. :-)