No. You log out of GNOME (Ubuntu) and at the login screen there is a session
menu. It keeps on changing so I can't tell you what to look for. I have KDE
(Kubuntu), LXDE, XFCE, Fluxbox and Enlightenment installed (just because I
can). :)

The look of the login screen will depend on which desktop environment you
have installed and which one of those that you choose to use. They all are
different which is why I can't say what the button looks like. Kubuntu's is
the most different.

First you need to click on your name and add password, but don't press
enter. The rest use a bar that appears at the bottom with a window that will
say GNOME if that was your last desktop environment that you used. By
clicking on the button beside it it will list all of the desktops that you
have installed. Just change it and not press enter of click the button
beside the login.

That should do the trick. You need to be careful if you are using WUBI
because you have a fixed disk size and you do not want to run out of space.
Try not to exceed 80% of capacity or you will notice performance
deteriorating.

One of the great things about Linux, aside from all of the choice, is that
you don't have to defragment your drives. However, they can become
fragmented if you run low on space as you give the file system no choice.
The problem is that there are not any easy to use tools that can defragment
for you. So be careful.