Sharing files from Windows to Ubuntu is easy. Just start Ubuntu, browse to
the file on Windows and copy or move it. Windows is transparent to Linux,
although finding things in the maze of "My Documents" isn't easy.

To share a file from Ubuntu to Windows you can either use a flash drive, as
correctly suggested before, or create a new partition that both Windows and
Linux can understand on either local hard drive. It would have to be either
FAT or NTFS. Then copy all the files in question to that partition and work
with them from either or both Operating Systems.