So, there are several ways:
If you have already installed Windows:
Use Wubi .
It's installing as usually Windows program. Bad choice - performance is low.
Split your had disk
Automatically:
Write your .iso on a CD/DVD disk and load system from it.
There are also 2 options:
Loads as LiveCD (It called "Try Ubuntu") or directly install. Ubuntu can automatically shrink Windows in both of case. It's work, but I don't like this way.
Manually: (recommended):
You need split existing hard drive through Windows "Disk Management".
Control panel > Disk Management, right click on disk Shrink Volume. More details here or here. You goal is create "Unallocated" space.
It operation keep all your files.
Then simply install Ubuntu from disk on unallocated HDD space.
If Windows not installed:
Install Windows and only after it go to "If you have already installed Windows"
If you're so afraid, you can buy a new hard disk and install Ubuntu on it.