Wubi is an Ubuntu installer for Windows that lets you install and uninstall Ubuntu from a Windows desktop. Wubi adds an entry to the Windows boot menu which allows you to run Linux.
Read about it at howtoforge
Ubuntu is installed within a file in the Windows file system (a loopmounted partition), this file is seen by Ubuntu as a real hard disk. That way the hard drive does not have to be repartitioned before the Ubuntu installation. The resulting Ubuntu installation is a “real” Linux system, not just a virtual machine. Wubi makes it easy for Linux newbies to play around with Ubuntu.