Ubuntu is not a Windows program, it is a different operating system. It doesn't run inside Windows, but instead of Windows.
You can install Ubuntu alongside Windows. Download the CD image, burn it to a CD, and reboot. When prompted, select “Install Ubuntu” and then “alongside Windows”. After the installation, each time you start your computer, you will have a prompt asking you to select Ubuntu or Windows.
There is also an installer program you can run from inside Windows. This installs Ubuntu on a big file inside the existing Windows partition on your hard disk, but even so, you'll have to select Ubuntu or Windows when your computer starts.
Alternatively, you can install Ubuntu in a virtual machine. VirtualBox is an easy one to install and set up. The advantage of running Ubuntu in a virtual machine is that it'll run in a window inside Windows, hence you can switch between Windows programs and Ubuntu programs. The downside is that running in a virtual machine hurts performance; Ubuntu will run slower, and you'll need about twice as much memory since both operating systems are running at once.