Inside YUMI select "Ubuntu" (which should be the first entry on top), it is a Linux distribution (like one of different flavours of Linux). And a "Live CD" is a common name for systems that can run without installing, usually for maintenance reasons like this one - Ubuntu can run w/o installing.

Then you will need to download a desktop edition of Ubuntu, please note: amd64 stands for 64-bit, i386 for the older 32-bit architecture. Get the 64-bit edition.

Once the download is ready, tell YUMI to use this ISO. You need ~1.45GB free space. Important: Since you have successfully installed Windows, you probably don't need to change anything, but usually the BIOS won't recognize any other filesystem on your flash drive but FAT32.

Boot from the flash drive. You will see a YUMI selection screen, Ubuntu will be listed under Linux distributions. Launch it. You will be welcomed with this screen, select "Try Ubuntu" to start it in Live CD mode, it may take a while depending on hardware and your thumb drive's speed.

You'll end up seeing a desktop with programs like Firefox preinstalled. Your Windows partition should appear on the bottom left with a HDD icon.