To get started download the .iso image from here and "burn" it to a CD. You'll need to burn it as an image rather than just copying the .iso file to the CD, see instructions here (which also has a suitable CD-writer program)
A good way to try-out Ubuntu (or any Operating System) is to run it in a "Virtual Machine" First you'll need a Virtual Machine program such as Virtual Box or VMWare Player (these is both free). Then run this program and create a new Virtual Machine, at this point it will ask you to insert the install CD for the new Operating System (eg the Ubuntu CD downloaded and burned as per above) OR even easier, you can point VMWare etc at the .iso file that you downloaded, removing the need for creating a CD.
We also looked at some other Uuntu / Linux versions, based on a good article by Linux Mag - in particular Deft, WattOS and TinyCoreLinux