You have to ensure that the documentation is for the right distribution of Ubuntu. Sometimes documentation for Squeeze (12.04) doesn't work in Trusty Tahr (14.04).
Here is the actual help document from Canonical that helps you install Conky:
Hey, have you tried sudo apt-get install conky? For me conky is in my repositories, and I believe i havent manually added it. You can also see if apt-get search conky does anything.
Also, make sure you are updated etc, try sudo apt-get update.
Don't want to discourage you, but conky + ubuntu never did work smoothly for me. It worked for a bit, then the screen gets all messed up and/or conky disappears, have to kill it and start over.
Whats the issue? Installing conky or difficulties getting conky working? Or conky is acting strange? Installing conky should be as easy as 'apt-get install conky' or 'zypper in conky'. You can run conky by typing in the terminal 'conky'. The conky config file is located in your home directory (.conkyrc), a hidden text file you can make visible by pressing "ctrl-h" while you have your file manager open.
When in gnome the conkyrc needs a paremeter 'own_window_type background' to work smoothly.
On Both OpenSuse with Gnome or Ubuntu with Gnome I do all the steps for setting it up (extract, move the .Conkyrc file and creation of the .Conky folder) and execute conky -c ~./.conky/conkyrc & and nothing appears. When I did do this on Ubuntu with Unity and it appeared.