Ubuntu

I am planning to dual boot Windows XP and Ubuntu 9.04, I have already burned Ubuntu into a CD and have also downloaded the ISO. But when I go to My Computer to start the installation, a different icon appears. And when I open it with ISO Buster, it opens up separately. I'm confused on what to click.. just to start the installation. Are there any other things I need to download to install Ubuntu? What is the easiest way to install Ubuntu?

Why 9.04 and not 10.4 LTS (long time support) or the most recent one ?

In light of your other posts on the subject I'd suggest you try installing and using Ubuntu in a virtual machine first. Download and install VirtualBox and take it for a test run.

Installation of Ubuntu isn't like a program in Windows. It's an operating system, so installation is done before you even boot Windows. IF you decide not to try it in a VM first, be sure to have a working backup of everything of importance on a seperate medium.

If you want something that will just give you an Unix environment on your windows box you might also look into Cygwin.
Cygwin

Pretty stable, has access to most of the same command prompt utilities and comes at the low price of free since it's open source.

the best way is installing ubuntu side by side windows
1- resizing any partition has free space about 10Gb
2- booting from ubuntu cd or dvd
3- select custom layout (in partition resizing)
4- create 2 partitions
a)swap (2*ram size)
b)ext4 (ext3fs)
5-Enjoy !

...but if anything goes wrong you've just toasted BOTH systems. And that's assuming he has enough free space at all, in the right places to be able to resize like that, and that the bootloader's willing to cooperate. And if he ever installs or repairs Windows again it'll destroy his bootloader and cut off access to the Linux part. I never recommend dual boot to new users.

Use a throwaway machine of some sort. P4 or newer, 512M of RAM or better, ought to do.