To clarify what has happened:
(It is important to know that your hard disk is divided up into "volumes", aka "Partitions". Right now, you probably just have one partition, which is dedicated to your Windows OS. Your goal is a full Ubuntu installation, which would reduce the size of the Windows partition so it doesn't take up your entire hard disk, and add two more partitions for Ubuntu.)
You have installed Ubuntu using Wubi, a program that installs Ubuntu "within" Windows. When you reboot, which you should at this point, you will see the option to boot Ubuntu, which has been installed to a virtual filesystem within the Windows partition. See What's the difference between Wubi and a regular "alongside Windows" installation?
If you run in to serious, unfixable problems with this, you should uninstall the Wubi version of Ubuntu by booting Windows and uninstalling the
Ubuntu program from "Add/Remove Programs" (keep in mind that, while this appears to be treating Ubuntu as if it were a Windows program, it is more complicated than that.) Then, boot from your USB thumb drive and do a full installation of Ubuntu. If your computer doesn't boot from the USB key automatically, you may have to change the BIOS settings by entering into setup upon boot, or bring up a one-time boot menu if your computer has it and use that to boot from the USB thumb drive.