Wubi is an Ubuntu installer designed to make it easy for Windows users to try Ubuntu. When you put your Ubuntu CD or Ubuntu USB stick into your computer while Windows is running, the Wubi (which is part of Ubuntu) ask if you want to "install" Ubuntu.     
It works by Ubuntu gets installed in a file in the Windows file system (instead of, as usual, to be installed in its own partition alongside Windows partition). Ubuntu comes then to be like any other program in Windows, and therefore modifies nothing on the computer's setup.