Your request for help is to vague to figure out exactly what is your problem.
For starters, what is "demo version of ubuntu"? You can either run a
LiveCD version (you could call it "demo") or install Ubuntu (no demo,
really) on your hard disk. The LiveCD does not make much sense for what you want
to do, so I'll assume you have installed Ubuntu on your computer.
The first step would be to install Wine, which makes ubuntu fairly compatible
(but not perfect) to run Windows applications. I don't know if Yahoo Site
Builder runs well with Wine or not. That you would have to try out (doesn't
seem to be listed on AppDB).
To install Wine in Ubuntu, you can go to the menu System, Administration and
then choose "Synaptic package manager". There is a quick search box
where you can type wine and then install it.
If you have already downloaded Yahoo site builder, a double click on the file
should run it and allow you to install it.
Hope this helps you