This seems to be just a question of changing the boot order from within your computer's BIOS. It is probably set to boot from the hard disk before trying the CD drive.
You can try simply changing it but I recommend that you remove the partitions that were created by the Ubuntu installation before installing Windows again. Reason for that is that there is a chance Windows will not list every partition currently on your disk and you will end up with a mix install of Windows and Linux partitions.
Start by booting from the Ubuntu LiveCD, select to Try Ubuntu and once on the desktop look for the disk utility from the dash, for that have a look on the following post:
Once the application is open delete all the partitions on your hard disk and apply the changes.
Ubuntu will be completely removed from your system by now. You can even try to boot the Windows install without changing the boot order in your BIOS, if your computer cannot find any boot partitions it will try to probably boot from the CD drive.
Reboot with the Windows recovery CD and it should start the Windows installation procedure.