Do I need to remove all personal files (Pictures, Documents etc) before installing Ubuntu, in order to save them?
you need to back them up to save them (always do that). Removing them is not needed.
You install Ubuntu in unallocated space unless you want to remove the current operating system. If the 1st your Windows system is going to be there as dual boot after install finishes. If the latter Ubuntu will remove your files for you and will remove ANY partitions related to the OS (that would be C: D: E: F: or any other letter related to that system).