I have successfully copied Ubuntu 18.04 onto a USB flash drive and boot it up on my laptop. There is an icon that said "install Ubuntu", do I need to click that icon and install Ubuntu onto my USB drive?
If you use the install button, it will install Ubuntu to the hard disk of your machine.
You do not have to install it, however. You can run the Ubuntu operating system in Live Mode directly from the USB to decide if you are comfortable with it, but any changes you make will not be saved between restarts.
If you do decide you like the Ubuntu Linux operating system, you can install it -- either as a dual boot alongside an existing Windows install or by overwriting the Windows operating system entirely. It is all up to how you want to use it.
Welcome to the world of Ubuntu!