How to install ubuntu?

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http://askubuntu.com – I have installed the wubi on my computer from an iso image. But when I boot ubuntu it says that press escape if you need to install through other method. It boots up and on the desktop there is this install "ubuntu 12.04 lts" thing and the examples folder present always. When I click on it nothing happens. It is not installing as whatever programs I install get erased as when I boot up again it still shows up istall ubuntu lts 12.04 on the desktop and my changes get erased.... Please help me to install I"ve a slow internet connection and I'm sick and tired of downloading it every time. (HowTos)