If you set up Ubuntu, (or almost any other Linux distribution) from the
CD/DVD on a computer with XP already installed it will offer you the
opportunity to make it dual boot with XP. The naming of drives and
partitions is not what you are familiar with so do some research before you
take the plunge. It's easiest if you have a second drive to dedicate to
Ubuntu, but possible if you have 10 GB or so available on the only drive.

Wubi (available on the Ubuntu downloads page) allows you to do this very
easily.