Changing Screen Resolution With Ubuntu

I have the Ubuntu 6.06 Live CD and I am very pleased with it. I have a couple of questions though.

1) I have gone to the Ubuntu Forums for help on changing the screen resolution. I did everything they told me and it didn’t work. I heard from someone that you have to install Ubuntu in order to change the screen resolution. Is this true?

2) Is it safe to install Ubuntu? Have you ever had any problems with Ubuntu?