Wubi is a Windows application that can instantly dual boot any Ubuntu flavors inside of Windows (XP & Vista). If you want to try a non-destructive way to have a dual boot Linux setup, then Wubi is for you.
Basically,
Wubi installs Ubuntu on a virtual disk. This means that you don't even need to partition your hard drive to ext3. It's a great way to get your feet wet on Linux.
Try it now! It's the easiest way to dual boot Linux & Windows (XP or Vista).