I have been trying to download and install latest Ubuntu without making a cd. I have tried 3 times. I downloaded something and installed it. But there was no trace of Ubuntu but just windows xp.
It certainly looked like it was installing something.
http://www.ubuntu.com/download/desktop/create-a-usb-stick-on-windows may help you for making bootable usb. Then you must restart your pc for starting Ubuntu setup. Also you must set usb as first boot hardware on bios (http://pcsupport.about.com/od/fixtheproblem/ss/bootorderchange.htm).