Today it is possible to install Ubuntu Linux 8.04 (Hardy Heron) under Windows XP or Vista without necessity to create separate partition for it. The tool that allows to do it is called Wubi. Actually it is Ubuntu installer for Windows helping you ro install and uninstall Ubuntu with few clicks. Here is nice brief article on how to set it up under Vista:
Wubi adds an entry to the Windows boot menu which allows you to run Linux. Ubuntu is installed within a file in the Windows file system (c:\wubi\disks\system.virtual.disk), as opposed to being installed within its own partition. This file is seen by Linux as a real hard disk.
Sweeet! 
wow, thx for sharing this! i have both xp n vista but ubuntu also sounds cool. lets download!
I think you have to compromise on speed. Is that so?
The compromise on speed is due to the fact that ntfs (windows filesystem) fragments while the native linux filesystem, etx3, does not. If you use linux for general purpose you may not even notice the difference.