I don't want to lose everything on my Windows, can I just not install it and always "try" Ubuntu?
What are the disadvantages? What are the advantages?
Thanks in advance.
When you "try" Ubuntu you basically run the operating system from the USB itself with everything needed loaded into memory.
When you setup your USB stick it asks you for additional space to use in order to keep your data. There you can store data that you may use between sessions. For example, you can "try" Ubuntu, connect to a network and then restart and boot again from the USB. The network you connected to will be remembered from data saved into the USB itself.
All of the above considering that you are booting Ubuntu from a USB stick.
Of course, you can install Ubuntu alongside Windows and select from a menu your OS of choice on each PC restart.
You don't have to lose your data. You can have a dual-boot setup. Just choose the right option in the installer. (The one that says "install Ubuntu alongside Windows", not the "erase all data" one.)
See the Official Documentation for a detailed guide with screenshots.
Yes, you can: there is no proprietary license to block your actions.
A Live system is good to test a system before installing it or for doing maintenance.