Ubuntu (and the very nice Mint Linux derivative) include a program that allows you to run either from within Windows, take a look at click here . This program runs when the Ubuntu/Mint LiveCD is inserted in your CD/DVD drive and offers you an option to install within Windows. The advantage is you don't need to partition your drive and if you decide to stop using Linux then you simply use the Windows Add/Remove programs option from Control panel.
When you have installed Ubuntu or Linux Mint with wubi / mint4win then your computer will dual boot and offer you Windows or Linux before any OS loads.
I'm using Mint Linux loaded by this route for this posting. It's a simple and easy way to give Linux a try - it is only marginally slower than a complete install in a Linux partition.
The normal program to use is GRUB. This is provided with the linux installation disc. The method to use depends on the version of windows you are using. Do a google search for GRUB ubuntu and XP or Vista and you will find instructions.