Wubi loads Linux as an application inside Windows.
Booting directly from the cd should give you a gui screen with an option to 'try without installing'
If it doesn't there are several possible reasons. First, the live-cd may be corrupt. You can check the .iso against the md5 hashsum provided on the Ubuntu download page.
Another possible cause is that there may be hardware issues interfering.
I'd suggest you give us as much details about your computer's hardware as possible, like graphics cards, network cards, sound cards etc. Also make and model of the computer, type of monitor used.
This can help to clarify if there are any known issues with your hardware.