There is a PXE boot option and an option to boot from USB device. If you have a CD drive, you can boot from a CD as well.

USB device is probably the easiest to boot from, so long as you have an ISO of whatever OS you're planning to use. Just select it in the BIOS screen on boot by repeatedly pressing ESC, F11, or F2 (depending on your computer's make and model). You can choose where to install the OS to. You cannot delete the PXE or USB boot options from the BIOS screen.

When you install any OS (Windows, Ubuntu, etc.), you have the option to install to your HDD or SSD (if you have one), and even install to a specific partition, if you created any. Perhaps you skipped through that part where it asked you which one to install to? It HAS to be installed on your HDD or SSD. Also, Ubuntu and other OS's let you choose partitions and everything upon boot from the ISO.

What I recommend is going back to the BIOS screen, choosing the boot option (probably USB if you have a copy on a USB drive... otherwise do PXE boot), and choosing a specific partition to install your OS to. Usually the installer lets you create a partition, and I think it is safer long term to have partitions for these things in case you want to put windows back on your machine to dual boot it, rather than using some crappy windows emulator like Wine.