Ubuntu is not an application that runs under Windows. Ubuntu is a completely separate Operating System, independent of and equal to Windows. But it’s not a Windows clone — Ubuntu is quite different in many ways.
Windows cannot be running when you install Ubuntu, therefore you use the bootable installer on the flash drive.
Step 1: You download the Ubuntu Installer image
Step 2: You create the Ubuntu Installer from the image
Step 3: You boot the Ubuntu Installer to actually install Ubuntu on your hard drive
Step 4: You boot into your new Ubuntu system
Follow the complete process properly — don’t take shortcuts.
Shortcut = Failure.