Basically you have 2 ways to install Ubuntu alongside (or instead of) Windows: using a physical media (such as a
USB stick or a
DVD/CD), or inside Windows (as an application with virtual devices) aka
You've downloaded an
ISO file, which is needed and used for the physical media method. This is the old-school, most conventional way of installing Ubuntu (or any OS, as a matter of fact). Most Windows setups don't come with any application that can deal with
ISO files out of the box.
Here's a simple software that I use to mount
ISO files as virtual DVDs/CDs: VirtualCloneDrive
I think you should avoid using the
Wubi installation method. From my experience, the result is always a slow and unreliable system.
I still consider myself a newbie to Linux. Here's the guide that I used to install from a
USB stick: QuickUSBInstallGuide. It's very easy to follow and very user friendly.
If you'd prefer using a
DVD/CD, these guides will work too: HowToBurnISO (instructions on burning an
ISO file into a physical
DVD/CD), and DVDCDInstallation (guide for the actual installation process).
As always, read and understand the documents first before doing anything. Everything will go smoothly! Good luck!