That's by far the easiest way, but it's not always ideal...
Download timeWubi.exe is only 1.4MB to download, but it has to download the Ubuntu CD image which is 699MB, and it's not very efficient. You can save time by downloading the CD .iso image yourself. If you need to reinstall you'll save even more time.
Picking your releaseYou don't get to pick which version you want. Currently the version supplied is 10.04.1 Lucid Lynx (the first update of the current long term release version). Maybe you want to have the 10.10 Maverick Meerkat instead, or maybe you want to try an older release. If you download the Ubuntu image yourself at the desired release, and burn it to CD, then you will automatically get the version you wanted.
The 10.04.1 looping download bugThe windows installer is very particular about which release it will install. If you download the 10.04.1 version of wubi.exe, it can only install a 10.04.1 version of Ubuntu (or variant) with it. The problem is that not all variant's of Ubuntu have a 10.04.1 release. The windows installer knows this and proceeds to download the 10.04 image of the variant. Then it checks it and discovers - gasp - that it's not 10.04.1. Then it loops back and proceeds to download the image again. If you happened to have left your computer during the download you could come back to discover it's downloaded and rejected the same image 3 or 4 times. This is another one of those simple bugs that could probably be fixed in a day, but 4 months following the release of 10.04.1 it's still sitting untouched.
PS avoid the Netbook-edition and Xubuntu with the 10.04.1 version of wubi.exe
What other options are there?You can download the image you want using bittorrent. Then download and place wubi.exe in the same folder as the .iso file and run it from there. The windows installer will find the image and use it (provided it meets the release requirement and the MD5 checksum is a match). This is also useful if you want the 32-bit version of Ubuntu, but your computer is 64-bit capable (Wubi.exe will always download the 64-bit version in that case).
Better still, download and burn the .iso image to a CD. This is very useful as not only will the version of wubi.exe always match, but now you can boot Ubuntu from the CD and try it without changing anything on your computer. This will tell you whether Ubuntu is compatible with your hardware. The other important thing is you now have a rescue disk to bail you out if and when something goes wrong. (e.g. some of those grub prompts I mentioned in my other post).
Final notes...The windows installer is written in python and - whether an issue with python or wubi I can't say - it complains about certain types of hardware. E.g. certain multimedia card readers, iPhones, and certain other peripherals. It's best to remove everything you don't need before running wubi.exe, otherwise you'll get irritating popups about disk errors that you have to continually click to get through (it's not an infinite loop, but it appears that way). Also, if you're running Windows 7, don't try and install Ubuntu to a dynamic drive that is not also listed in the partition table.
Pick the size of your Wubi install carefully. It's not easy to change the size of the virtual disk once you've created it. When you run out of space, there are options to resize, but at that point - it's probably better to migrate to a direct partition install.
Remember that the Wubi Ubuntu is running off a virtual disk that is a single file. It's much easier for a single file to be corrupted. Avoid hard shutdowns even if it looks like the computer is hanging (use Alt+SysReq R-S-U-B instead), and take care to backup your data.