Ubuntu, by default, will keep your Windows installation intact. It will recognize that Windows is installed and will install itself on an empty section of the hard disk. It will also install a boot loader the enables you to choose if you want to start Windows or Ubuntu when you turn your computer on.
Before you install Ubuntu, it would be good to run the Windows disk defragmentation tool so that the empty space on your hard disk will be as contiguous as possible. It's also recommended that you will backup all your Windows files, in case something goes wrong when you install Ubuntu.
The Ubuntu installation CDs are also live CDs -- if you turn your computer on when this CD is in the drive, it will boot this CD to a working Ubuntu desktop. You'll be able to work on it without installing anything on your hard drive, and if you like it you'll be able to install it to your drive, directly from the active desktop.
you can find a more thorough explanation here:
https://help.ubuntu.com/6.10/ubuntu/installation-guide/i386/index.html
Frankly, I'd wait a bit with installing it. The latest version of Ubuntu, version 6.10, is not a very stable one. I've used versions 5.10 and 6.06 and both of them were better. The next version, 7.04, will be released next month and it looks like it's going to be a massive improvement over 6.10. I suggest you give 6.10 a try as a live CD, and wait for 7.04 if you want to install.
Have fun!