Dont do it that way. Instead, burn the ISO image to a CDR (Burn it as an image NOT as a single file) - i reccomend download DeepBurner (free version available) and using its burn ISO feature to do this. Its nice and simple.
Then just reboot your PC with the disk in the drive (make sure that the BIOS is set to boot from the CD drive) and it should start Ubuntu (not XP).
In that way, the install is similar to the process for installing XP from a cd onto a new computer, - except for one key difference. The ubuntu disk is more than just an install disk - its a livecd so you can try it out first. Once you have tried it, click the install icon on the desktop to start the install.
In the installer, just tell it to shrink your windows partition. It should then install ubuntu in the space it frees up, and everytime your PC starts, you should be able to choose between Windows and Linux at the bootloader screen just after the BIOS logo.
