As system itself Ubuntu is protective and does not talk to anyone about your private life, but other topic is your behavior in internet, there you have lot's to do by yourself.
As for installing it with Win 10, there is so many tutorials available, I will not try to beat them here briefly, googling found me this and that as first results and they seem pretty adequate. I just wanted to stress, that this is pretty straightforward process and Ubuntu gives you opportunity to shrink your Windows on disk, to make room for Ubuntu. Result is called dualboot system, where on boot you can choose, to which system you want to start this time.
And you can choose, which one starts by default. One observation from me: Win updates need a lot restarting, so if Ubuntu is default, Win can't finish it's updates without your interaction.