I second Couchmaster. Diving into this without prior experience is asking for trouble. Do you have an old HDD laying around you could practice with?
Take a look at
aysiu's website. He's spent quite a bit of effort building graphical guides to installing. Start with "Introduction". If you're feeling overwhelmed by the time you get to "Install Desktop CD Ubuntu" then that's a good indication that you might need to research this a little more.
Herman's
website is another good source of graphical guides. Both of these guys are Ubuntu enthusiasts who put a lot of time and effort into their guides. I did my first dual-boot (with the Breezy text-based CD, back before there was a LiveCD available) using Herman's "Ubuntu + NTFS" guide. I didn't know what I was doing, just carefully followed his steps and it all worked out. However, the Windows install was fresh, with absolutely no valuable data on it, so the worst that coulda happened was having to start over!
If you have broadband, I'd suggest downloading the
GParted LiveCD. This can be done on a Windows PC. Download the CD version, burn to a CD. The end result is a CD that will boot your PC and gives you a great tool for setting up partitions before you dive in with the Ubuntu CD. Actually, the Ubuntu LiveCD's partitioner
is the GParted partitioner, but it's a stripped down version.
Defrag the dickens out of your Windows partition, make sure the data is moved over to the left, then reboot, drop in your GParted LiveCD, make a primary partition, formatted as ext3, over on the right side of the disc map. Apply the change, reboot, drop in the Ubuntu CD, follow whatever instructions you have. When you get to the partitioning step, click on manual partitioning and you'll see the same disc map you saw when you were in the GParted LiveCD. I found this to be very confidence-inspiring. Instead of more unknown territory, I could see the changes made previously had worked.
Don't proceed unless you have taken whatever steps you feel are necessary to completely rebuild your Windows data. The directions should work but people have ruined their Windows partitions.