Dual boot xps8950

I made a bootable USB with Ubuntu 22.04 on it, trying to dual boot my newly bought XPS8950. After pressing F12 to enter boot menu, I was able to boot from this USB, and start installing Ubuntu. However, the installation is only targeting USB drive itself, which complains not enough space for installation.

I have shrink-ed the C: drive to leave space for dual boot Linux, but there is no option for me to select where to install during Ubuntu installation process.

Do I miss anything to setup dual boot in this case?

Thanks!