You can either insert an Ubuntu, Kubuntu, Xubuntu CD in the drive while in
Windows or can download the installer from http://wubi-installer.org/

WUBI stands for Windows UBuntu Installer. It creates a folder on your CD
drive and creates an image file for Ubuntu or whatever flavour of
Canonical's distributions that you want. It is a large file so you want to
defragment your drive before installing. You can remove it from the Windows
control panel when you don't want it.

When you re-boot you will see a brief menu. Windows is the default. If you
select Ubuntu then it will complete installing Ubuntu OS inside the image
file and mount the image as if it was a drive. No Windows is used to run
Ubuntu. Inside the image file you have a Linux file structure. You can
install Linux applications and access your Windows drive. You cannot run
Windows applications, though. It works just like the real thing. The only
limitation is that suspend does not work and it will slow down if your
Windows drive becomes fragmented. It is also subject to viruses and
destruction if you cold re-boot while in Windows. The larger the file the
greater the risk and these files are large, 8 GBs or more. You can set it
for whatever you want.

I tried WUBI but prefer VirtualBox or dual booting. In VirtualBox I can run
both Windows programmes and Linux programmes at the same time and drag and
drop files. With seamless mode I can even share the Linux desktop with
Windows (it gives two panels, Ubuntu on top and Windows on the bottom on the
same desktop). I can clone the VM and copy it as often as I wish and can
even run without an AV programme. If it becomes damaged I just create a new
one from the cloned copy. You can't copy Windows from one physical drive to
another, but you can do this with VMs.

The only way to run a VM IMO is to run Windows in Linux and not the other
way around. You gain the security of Linux and can contain the problems of
Windows to the VM. Linux becomes like a server for Windows that never needs
re-booting, never needs defragmentation, and can be hardened as much as you
care to.

It is nice to have WUBI as an option. It is not as good as the real thing,
but it is a close second.