Two things...
Did you burn your own Ubuntu CD? If so, did you burn it as an .iso image or did you just burn it as a data CD. A bootable CD must be an .iso image. Windows' built-in burning software does not have the ability to burn .iso images. You'll need a small app like
ISO-Recorder by Alex Feinman to burn the image.
Secondly, if you did burn your CD properly (or you acquired a pre-burned CD from Ubuntu), then you'll have to make sure that your system's BIOS is set to boot from the CD/DVD device. You can usually bring up a boot menu at the BIOS screen using some key on your keyboard. Every BIOS is different, though. Read the info as the system loads. It'll tell you what key to press to get to the boot menu. For example, on my system, it's F12.
Luck!