What do you mean by if it had the way of installing itself. It's easy to install. Just select simple options and there you go.
I'm more talking about an .exe that you run in Windows, then restart your computer and choose "Ubuntu/Fedora/Whatever". The scariest thing, according to the people I'm around, is having to touch the BIOS (even just to choose a different boot device), or do anything that would seem "advanced", like using the terminal. If it was like installing any other Windows program, it would be easier to get people to move over. I think Ubuntu has Wubi, but I've heard that it sucks for some reason.
You just reminded me that the vast majority of people don't do clean installs - just upgrades (and when needed because most computers come with it preinstalled...). And that makes me sad. Because it means that it's only people like us who know that Windows most easily is installed via disk or stick.