I'm quite new in Virtual Machines. I'm trying to create one with Ubuntu but it comes to the step "create hard disc" and D:/ is selected, I think I do wrong, because there is nothing in there. Then, I've got this error in the VM: "FATAL: no bootable medium found". So, do I need to install anything else apart from the platform package ?
You are failing to understand what a VM is. It is a PC in which all the hardware (except the CPU) is simulated. In every other respect it is a standard PC, and distinct from the host PC.
In the "create hard disk" step, you are being asked what size of virtual disk should be simulated. The simulation is done using a file on a host drive, so other than making sure that the host drive is large enough, you should let the VM decide what host folder to use.
Having created a blank PC the next step is to install an operating system. For that you will need a physical or virtual (i.e. an ISO) setup CD. ISOs for various Linux flavors can be downloaded from their respective support servers.