There are a few different options, actually. Generally, what you download from the Ubuntu website is an ISO which you would then burn to a CD. Once you did that, you could either run Ubuntu from the CD, or install it permanently on the system.
If you install it, it can overwrite Windows, replacing it completely. If you don't want to do that, you can try re-partitioning the drive so that you can set up a separate Linux partition which will let you dual boot; the problem is that there's a risk of damaging the Windows partition doing that, so if you wanted to try that you should make sure to back everything up before trying, and be prepared to re-install Windows if you need to.
If you have a free drive bay, and can afford a new drive, you might want to get a separate drive to install into the system, and install Linux on that. That's probably the best solution if you can do it.
There are also ways to install Ubuntu inside of Windows, but I can't give too many details about that offhand.