Honestly, if even CD burning is too much, go ahead and google "wubi 10.10" which allows you to install the Ubuntu as an application under Windows. If you decide you don't like it, boot into Windows and uninstall via Control Panel. Quick and easy and runs waay faster (and saves changes) without using a LiveCD.
If you decide you like that, I do recommend going to other more "geeky" distros like Debian or OpenSuse or the like.
Not sure if anyone mentioned it either but www.distrowatch.com is a great place to find out about the various distros of Linux.