Linux is an operating system core or kernel and in the context you use it an operating system similar to Windows. Linux is NOT an application that runs on top of the Windows platform and it should not be treated as such.
People will tell you, that Linux can run on top of Windows by using a virtual machine. Most people that do so don’t know or understand the pros, the cons, the implications, the disadvantages of doing so. Since you are obviously a beginner, using a VM is not only tedious, but it will also be in the way of your learning experience.
You might like to install Mate desktop in your ubuntu environment.
And after you’ve tested some options and gotten acquainted, you might want to consider what’s called “dual booting” Which is installing Linux next to Windows. Which requires the separation of the two OSes based on separate partitions on your hard disk.
For the installation, you actually use the very same live system, since the installer is in there and the live system provides options to perform some research in case you get stuck. Otherwise, the actual install process depends on the distribution you decide to use. But install guides are all over the Internet.