I'll second the suggestion that you try an easier distro for a newbie to work with. You can get the current version of Ubuntu here
There are instructions on that download page about how to burn a CD image. This is not the same as creating a data disk. You have to specify that you are burning an iso image to the disk in whatever CD burning software you are using. This is the only way that the CD will be bootable.
Once the bootable CD has been created, put it in your CD drive. Check your BIOS to be sure that your machine will try to boot from the CD first.
If that confuses you, then just watch the boot-up screen on your machine when you restart it. In many cases the boot process will pause early on, and you will get information to press the F2 or the F10 key (or something else) to choose the boot device. Select your CD drive as the boot device and "let 'er rip".
The beauty of a live CD like Ubuntu gives you, is that you can boot directly from the CD without making any changes to your machine. You can play with Linux, log onto the web, and do a whole lot of other things, without committing to Linux. It is a great way to 'test the water' so to speak. You just cannot SAVE anything while using the Live CD.
If you decide you like what you see, you can choose to install Ubuntu as a secondary OS on your machine. Linux plays very well with Windows. The Ubuntu installer will offer to shrink the Windows partition, and install Linux in what remains of your hard drive. (You can also choose to eliminate Windows and install Linux on the whole drive, but that may be for a later day.) When you reboot, you will get a setup screen before Windows begins to boot, allowing you to choose to boot into Windows, or to choose Linux.
Hope this helps!