All you have to do is create another liveUSB, not the one where you want to install it.
Boot from it while having the other one connected as well. Once in the live desktop environment open Disks and check the path of the drive you want Ubuntu on (/dev/sdb for example).
Launch the installation and then make sure you select the something else option.
Choose the correct drive where to install and create the partition table you wish. I suggest three partitions:
- Fat partition for documents (to share with Windows)
You may opt not to have this third one if you do not need to share files.
When you're asked for the installation of the bootloader, make sure you select
/dev/sd?, where ? is your installation media.