i am a brand new Linux user and i have a million questions and many no answers.. so here i go..
My fisrt question i guess is i have something thats called ubuntu.. is that the same thing as linux?? im not sure..
My main question however is how do i install things on linux? do i need to download something else.. i am a previous windows user.. and to me it appears that EVERYTHINGis for windows i cant instal any application from the internet onto my computer.. im missing codecs.. or something about activex... can anyone help me??

good questions.
Linux is actually just a kernel. Ubuntu is called a distribution of linux. It comes with the linux kernel, a desktop environment and many applications for you to use. There are many different "distros" some of them include debian, gentoo, fedora, Suse, mepis, etc. There are hundreds.

Using ubuntu you can use synaptic to get your software. Synaptic has repositories online, so you do need to use the internet to get programs installed. You can also used the command line to install software. There are tons and tons of linux programs to use, most are open source. For every windows program there is most likely a linux equivalent. If you can't find what you're looking for, google it. Are you looking for a specific package?

Ubuntu is a great distro for beginners. But if you want to really learn linux, you can try gentoo, slackware, archlinux, and others. But for now you should learn the basics in Ubuntu.

I got an ubantu live cd which run linux from cd drive can t permenantely install on my pc without disturbing my windows xp?

you can run the livecd from the drive, yes, and it won't do anything to your hard drive.