Oh, I see.
So now that Ubuntu is on my HDD, do I have to format it right now or do I just boot it from USB and it will let me format it when launching Gparted?
@migles still doesn't work, im trying what yoy and nastys said
You have to boot it from USB, select Try Ubuntu then open GParted, unmount the swap then you can create the msdos partition table from Device → Create Partition Table...
If you just want to keep Ubuntu, you don't need to do this, as Ubuntu supports GPT (and >2 TB partitions) on non-UEFI systems, but if you want to dual boot or just install Windows, you need to use an MBR (msdos) partition table.
Also, if you're going to dual boot, beware that Windows replaces Ubuntu's bootloader, so you have to repair it if you want to be able to boot it again, or just install Windows first and then Ubuntu (which you need to do anyway, as you'd need to recreate the partition table as msdos to be able to boot Windows).