You shouldn't have to install sudo, it's already a part of a fresh ubuntu install.
For example, when you execute a command that requires superuser priviledges (let's say /etc/init.d/gdm restart), you'd have to prefix the command with sudo. When asked for a password, enter your user password (don't worry if typing doesn't give you an echo on the screen).
So in our little example you'd write
so that the command above is being executed with superuser privs.
sudo /etc/init.d/gdm restart
Imagine sudo as a substitution for: login as root, execute command, logoff as root (except the root user isn't enabled by default on ubuntu systems).
Hope I could clear things up for you (and also that I understood the problem correctly).