http://www.ubuntu.com/desktop
Basically you download an ISO file, which is a 'image' of a CD. Using a tool like ImgBurn you burn the ISO to a DVD to create a useable disk. Put the disk in your PC and restart. Assuming your DVD drive is the first boot priority device (or greater than hdd, settings for this are in the BIOS) it will boot the Ubuntu installer where you can choose to install Ubuntu or try it (live). Choose live and Ubuntu will run from your ram / the disk. This allows you to test things out without making any changes to your system at all.
If you Google around there will be some good guides for that, it's a handy thing to know for when you have other problems. If you don't want to download Ubuntu there are smaller Linux distros that can be run off USB's.. Puppy Linux, Damn Small Linux (dsl) and others.