If you're still interested in Ubuntu after the livecd; and you want to keep your windows partition "clean" and don't fancy messing about with resizing partitions and the like, check out Wubi here: http://wubi-installer.org/

It's a "Windows Installer" for Ubuntu 8.04 that sets up Ubuntu inside a large file on your Windows partition which is bootable from the Windows boot menu. Works wonderfully well, safe as a very safe thing, etc