It is a commandline program that needs to be run from terminal. Also, it is not already installed by default, so you need to install it first. It is very small and can be easily installed and run from the live session (running off a live cd/dvd/usb)
While in Ubuntu, make sure you are connected to internet. Then open a terminal (ctrl + alt + T) and run the following commands -
(Please note that sudo will not ask for password if you are running a live session. In installed one, it will ask for password. You won't see anything on the screen while typing the password. Just type the one you use for login and press Enter)
Let the installation finish. Then run -
sudo apt-get update
sudo apt-get install testdisk
Then proceed from the step with "Log Creation" screenshot on the page I linked to.
It is not very uncommon for new users to get confused with that tutorial. So feel free to ask here wherever you are having problem with it.