I'll make it simple for you.
1. Study into which OS is right for you. Go to Windows Vista: Compare Editions
to figure out which version of Vista is right for you, or go to Ubuntu Home Page | Ubuntu
to see if Ubuntu/Linux is right for you.
(Disclaimer - There are many different distributions of Linux. Ubuntu is the one I have the most experience with. It is the most popular one, and it is easy to use.)
2. If you decide on a version of Vista, go to the store and buy the full version of whichever Vista version you want. Do not buy the upgrade.
3. If you decide that Ubuntu is what you want, download the .iso file onto a different computer and use a program like Nero or the free CDBurnerXP Pro - Reviews and free CDBurnerXP Pro downloads at Download.com
to burn the .iso file to a CD.
4. Make sure your BIOS is set to be able to boot from a CD.
5. Put the Windows Vista or Ubuntu CD/DVD in the drive of your newly built computer.
6. Turn on your computer and choose to boot to the CD/DVD if it offers you that choice.
7. Follow the installation instructions.