You can install it from a cd,dvd or by creating Live USB drive.
One of the many softwares that you can use for creating a bootable drive is UNetbootin, the Universal Netboot Installer.
You can get it at http://unetbootin.sourceforge.net/
UNetbootin can download the files of the linux distribution that you specify or use an ISO image of a cd/DVD to create a live USB drive.
The steps to create a Live USB drive are very easy.
Step 1: Format the USB drive.
Step 2: Download the UNetbootin Installer from the link above.
Step 3: Double-click the downloaded file. Windows gives a security warning,
ignore this and click Run.
Step 4: Now if you do not have the image to create a USB stick, select the
Distribution radio button and select your distribution and version from
the dropdown list.
If you have the ISO image of the CD/DVD then select the Diskimage radio
button and select the image file from your hard disk.
Step 5: You can show all drives by checking the show all drives checkbox but do
this with care as a mistake may chage your system settings.
Select the USB drive from type and the drive.
Step 6: Check everything and click OK.
Step 7: Wait while it copies the files to your USB drive.
Step 8: Once the installer completes reboot the system.
Your own Live USB drive :)
Enter the boot menu and select Removable Devices/USB Hard disk from the menu to install from this Live USB drive.