Considering that OP is not providing a lot of details about the nature of their error, I'm going to assume that they were expecting that, once Rufus was done creating the media, Ubuntu would automatically boot.
Well, that's not how it's designed to operate, because Windows and Ubuntu cannot coexist (outside of using a Virtual Machine or WSL, but if you're creating a bootable media those are irrelevant), so you can either run one or the other at a specific time.
This means that, to be able to run Ubuntu from a USB bootable drive, such as the one created by Rufus, you must shut down/reboot Windows completely and then use that USB drive to boot into Ubuntu.
Therefore, if Rufus were to boot straight into Ubuntu when it's done creating the drive, it would have to shut down Windows and reboot the computer, which, if it was done automatically (and forcefully) would be very detrimental. Plus, in a lot of cases, the computer on which a user wants to run Ubuntu is not the same as the one they run Windows on.
So, instead, Rufus expects that, once the media has been created, it's the user who will decide when they want to reboot their computer to boot into Ubuntu.
And that's why, once Rufus is done creating the USB, it considers that its job is done and just stops.
Also, since OP appears to be a new user of Ubuntu, be very mindful that if you choose to install Ubuntu on the same computer you are running Windows on, you are most likely going to erase Windows altogether while doing so.
Now, it is possible to dual boot Ubuntu and Windows, and it is of course possible to try Ubuntu without installing anything. But I would advise caution if you are a new user and want to preserve your Windows installation by reminding you that, if you are booting Ubuntu on the same machine where you run Windows, you should not run the installation process unless you have backed up your data and are ready to remove Windows altogether.
