When you install Ubuntu with Wubi, there really should be a release note popup - and it should contain some warnings:
1. Make sure you backup
2. Don't mess with the boot menus
3. Don't update packages grub-pc and grub-common
Well what can you say about point 1: Obvious. Point 3: covered ad nauseum already. But let's look at Point 2.
For some reason, many people are irritated about there being 2 boot menus. And they decide to remove one of them. And as I'll explain, that's not a good idea.
The first thing they try is to remove Grub. But grub is a little too smart for that - it prevents itself from being hidden if it detects multiple OS's. So you're out of luck unless you happened to find Ulrich Meierfrankenfeld's nice workaround.
So the next thing they try is to mess with the Windows Boot Manager. They have already noticed that the Grub menu already has an entry for Windows, so - they think - why not just set Ubuntu as the default in the Windows Boot Manager, and then set the Timeout to zero.
What they fail to realize is that the Windows option in Grub, does indeed boot Windows, however, Windows boots using it's Boot Manager - and they've just set that to boot Ubuntu automatically without a delay or prompt. Bye bye Windows.
So what can you do?
Apparently holding down the F8 key doesn't work as it's supposed to...
So if you're on XP, you can manually edit the boot.ini file from within Ubuntu to change the timeout - just be VERY careful - if you add the wrong line endings (i.e. carriage return/newline) then you'll be able to boot nothing - just get a HAL.DLL error.
If you're on Vista/7 I think you're out of luck. You will need a Windows repair disk and use the command line bcdedit to modify the timeout.
Final note, don't install burg on Wubi. It tends to install itself in the drive Master Boot Record and this stops your computer from booting.