For more information on where to get CDs, see Section 4.1, “Official Ubuntu CD-ROMs”.
Some installation methods require other images than CD images. Section 4.2.1, “Where to Find Installation Images” explains how to find images on Ubuntu mirrors.
The subsections below will give the details about which images you should get for each possible means of installation.
Download the image for your architecture and burn it to a CD. To boot the CD, you may need to change your BIOS configuration, as explained in Section 3.6.1, “Invoking the BIOS Set-Up Menu”.
It's also possible to install from removable USB storage devices. For example a USB keychain can make a handy Ubuntu install medium that you can take with you anywhere.
The easiest way to prepare your USB memory stick is to download netboot/boot.img.gz, and use gunzip to extract the 8 MB image from that file. Write this image directly to your memory stick, which must be at least 8 MB in size. Of course this will destroy anything already on the memory stick.
There are other, more flexible ways to set up a memory stick to use the Ubuntu installer. For details, see Section 4.3, “Preparing Files for USB Memory Stick Booting”.
Some BIOSes can boot USB storage directly, and some cannot. You may need to configure your BIOS to boot from a "removable drive" or even a "USB-ZIP" to get it to boot from the USB device. If it doesn't, you can boot from one floppy and use the USB stick for the rest of the install. For helpful hints and details, see Section 5.1.3, “Booting from USB memory stick”.
It's also possible to boot the Ubuntu installer completely from the net. The various methods to netboot depend on your architecture and netboot setup. The files in netboot/ can be used to netboot the Ubuntu installer.
The easiest thing to set up is probably PXE netbooting. Untar the file netboot/pxeboot.tar.gz into /var/lib/tftpboot or wherever is appropriate for your tftp server. Set up your DHCP server to pass filename /pxelinux.0 to clients, and it with luck everything will just work. For detailed instructions, see Section 4.5, “Preparing Files for TFTP Net Booting”