You cannot install 12.04 Kubuntu when running wubi.exe standalone at this time. The addresses of the ISOs are incorrect so it will fail.
I'm not entirely sure but perhaps this has something to do with Canonical no longer supporting Kubuntu. Whatever the reason, the ISOs are now hosted on http://cdimages.ubuntu.com/kubuntu/releases/12.04/release/ instead of http://releases.ubuntu.com/releases/kubuntu/ (as it was in prior releases). Unfortunately this wasn't picked up in testing as Wubi uses a different download site while in development. It's only after release that this switches over.
I've submitted a bug patch that may or may not be accepted as an SRU (stable release update) - if you read a previous post you'll know that these are now possible for wubi.exe whereas they weren't previously. But in the meantime you'll have to use a workaround to try Kubuntu
Download the Kubuntu Desktop CD ISO manually from here and save it in the same folder as wubi.exe before running.