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I go to the completed download file but I can not find a setup.exe like Windows and there is not a setup file in the folder. Can anyone help me?

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Ubuntu is an operating system, not an application. What are you trying to accomplish? What's the goal that motivates you to try to install Ubuntu Server? – Eliah Kagan Mar 6 '13 at 22:52
Maybe you should start here: – Nanne Mar 8 '13 at 12:34

Ubuntu is not an application, but an operating system. It doesn't run on Windows, it runs instead of Windows. You downloaded an ISO image: burn it onto a CD-ROM (you can do this from Windows), then put the CD-ROM into your CD drive and reboot the server. If you have no CD drive, use the live USB creator to create a bootable USB stick and boot from that instead.

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