Did you properly burn the Ubuntu disk? If so, then your bios needs to be set to look to boot off the CD first before the HD.
Once that boots up, you can start the installation process. Ubuntu, I think, by default will want to set up a dual boot with XP. You don't want to do this, one of early screens you can click on manually partition, then go through and delete the XP partition(s). Since you did this manually you'll want to go ahead and set up the linux ones here too, typically "/", "swap", and "/home". You might want to read up a bit on what sizes you should use.
Or you could just delete the partitions with Gparted as said above, and then boot off the Ubuntu disk, and run through the install just by accepting all the defaults and it will get the partitions right for you.
I think your biggest issue is you aren't actually booting off the disk, fix that part and the rest will work itself out.