When you refer to the Wubi Guide, it points you towards LVPM to do the migration, but LVPM hasn't been updated since Ubuntu 8.04, and doesn't work out of the box without some tweaking. The Wubi Guide's own script is in a similar state.
Fortunately it is still possible to migrate, and you can find a script and a step-by-step guide(if you want to do it manually) on ubuntuforums.org. *
Before you migrate you'll need to partition your drive. That's something you'll have to do beforehand, but it's fairly straightforward on Windows Vista or 7 - use the built in Disk Utility. For XP, you can use Gparted that is part of the Ubuntu 'Live CD'.
* This can be used to migrate Ubuntu versions 9.10 and later. If you installed on an earlier version of Ubuntu (even if you later upgraded) you have a different boot loader and the guide does not apply.