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I have a DELL OPTIPLEX GX620 with no OS and would like to try Ubuntu 12.04 LTS on it.

Can I do this?

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Yes as long as you have a hard drive and a CD/DVD or USB port working.
You don't need any other OS installed.

Just boot to the Live CD or LiveUSB(press F12 just after your post screen and select the CD or USB) Then click "Install Ubuntu" the installer will take care of the rest. It is extremely simple to install without any preexisting OS as you will not have to choose any options to install alongside or replace another OS.

If you'd like to read them to get more detailed information here are the Installation instructions

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OK - I was trying to brn a cd to install and it only goes to my c: or main hard drive and the cd or USB is not even a choice for me. What am I doing wrong? – user81163 Aug 3 '12 at 22:58
I may have figured out how to download to my cd, but it looks like its going to take over an hour - is that normal for a cable connection? – user81163 Aug 3 '12 at 23:08
@user81163 You may have to change the boot order in your bios. The exact steps to get there depends on your bios type and version. TrailRider posted a link where you can find another link ("booting from the CD guide"). – 32bitfloat Aug 3 '12 at 23:09
I was aware of the boot order - have you used Ubuntu for long? – user81163 Aug 3 '12 at 23:21

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