If you are using a desktop pc select the default distribution (Ubuntu 10.10 Maverick Meerkat) and select the closest download location to you. The closer the location, the faster you will be able to download the cd image. If you are unable to download full cd images you can order ubuntu online for free here
Burn the iso image to a cdrom using your favorite cd burning software.
Reboot your computer and insert the ubuntu cd. Make sure your BIOS is set to read from optical drives.
Choose the default menu option (boot into live desktop).
Wait for Ubuntu to load fully
When you are ready, double click the install icon on the desktop
Follow the prompts. Information about partitioning can be found here
When you have entered all the information you need, grab a coffee and wait for Ubuntu to install fully.
Reboot your computer.
By default the GRUB bootloader selects Ubuntu as the operating system to boot into after approximately 10 seconds.