We had covered you on this with a Ubuntu installer for Windows called Wubi. However, you can also install Ubuntu as a native Windows application by using Portable Ubuntu Remix.

Portable Ubuntu Remix is build on Ubuntu 9.10 Karmic Koala and is built with Colinux Kernel, Xming X server and Pulseaudio server for Windows. If you are a Windows user who has been reading about Ubuntu, but haven’t had the time or expertise to install it, this is a good way to try out the system without breaking you head. Portable Ubuntu Remix only supports 32bit Windows PC.
 
Download Portable Ubuntu Remix