Hi,
OK so you've tried the Live CD and it works, now you're wanting to install.
Before you go any further, I'd recommend you boot back into Windows and first defragment your hard drive. This is because when you install Ubuntu alongside Windows, you will need to 'shrink' your Windows installation to make space for Ubuntu, and defragmenting first lessens the (small) chance of any problems later on..
You should also make a backup of any important files before you start installing Ubuntu - again, just in case something goes wrong (which is unlikely)
Once you've done that, boot up into the Ubuntu Live CD and double-click on the install icon on the desktop. This will launch a wizard that will walk you through the process of installing Ubuntu, including shrinking Windows and installing a dual-boot loader which will subsequently allow you to choose booting Windows or Ubuntu. It's really very easy, but can be quite slow if you're running an older machine - just sit back and be patient..
All the best and I hope that you enjoy Ubuntu!