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.
debian-installer home page has links to
Section 4.2.1, “Where to Find Installation Images” explains how to find images on Ubuntu
The easiest way is probably to download the (CDROM) image, because the files most people need are there on the image.
The subsections below will give the details about which image(s) you should get for each possible means of installation.
First of all download the image for your architecture and burn it to a CD/DVD.