Having done this a while ago, I can say that it is reasonably simple, but...

First, a disclaimer - like I said, it's been a while and my memories of
where things are and what they are called on Windows are hazy at best

If you go to the account settings (this is under the Edit menu in
Ubuntu, I believe it is under Tools in Windows, but don't know for
certain) then under Local Folders or the Server Settings for each
account, you should see an entry saying Local Directory. Part of that
directory listing should be a seemingly random 8 character string (on my
machine it is scwb3hpt.default). Make a note of this. All you should
need to do to transfer this over to Ubuntu is

* Run TB under Ubuntu to create a similarly named folder in ~/.thunderbird

* Copy (NOT move, just in case :-) ) the contents of the Windows
directory into the Ubuntu directory - don't worry that the two names are
different, it shouldn't matter.

(You _could_ just copy the directory itself over, but this would require
some twiddling with config files and gets a little messier.)

* Run TB in Ubuntu again and you should not only have your emails and
email settings across, but also have anything else you may have set up,
such as directory structures, filters, add-ons etc.