First, download the CD image from http://www.ubuntu.com. Make a CD from it (read this if you need help). Now, reboot your computer with the CD inserted. Choose the "Start or Install Ubuntu" option.
Wait some minutes while it loads. From the start, you will have a full working Linux. Try some of the applications, get a feel of who it works. As you can see, it's a very friendly operating system. So, why not installing it? Is as simple as double-clicking in the Install icon that is placed in the Desktop.
The installer will start. First, you have to select your language, location (to set the timezone) and keyboard layout. With this, you have completed the three first steps of the installation.
Next is time to get some room in your hard-disk to install your new Linux. If you have already another operating system installed, and you want to keep it, just say how much space you want to devote to the new system. If you want to use the entire disk (and lost all the data you have on it), choose the option “Guided – use entire disk”. Or, if you have some experience with disk partitions, choose “Manual”. If you have choose the first option, click on the “continue” button in the following warning message.
If you have some popular operating system installed, you will have the opportunity to migrate your data to the new installation, so that some of your data and preferences will be copied to your Ubuntu desktop. After that, you will have to insert your name, choose a login and a password, that you will use to enter in the system, and give your computer a name (or keep the suggested).
Click “Forward”. You are ready to start the installation. Just press “Install”, and wait some minutes.
And finally... click on “Restart now".
Wait a little more and remove the CD when prompted. From now on you will have a menu when booting. From them, you can choose if you want to start your new Ubuntu Linux system, or your old operating system. Simple choose Ubuntu (will be the first choose), and... Welcome to the Linux World.
As always, use this information at your own risk. I'm not responsible for any data lost. Always keep a backup of all your important files.