Sorry; I was wrong about this; I was forgetting that Wubi installs onto the Windows partition itself. As ehawk says, you will need to transfer Ubuntu onto its own partition before following these instructions.
You can do both from within Ubuntu.
2) is easiest and I'd do that first. There's no actual GUI tool installed by default to setup the bootloader, but installing one is easy: Either run this command or install startupmanager from Synaptic:
sudo apt-get install startupmanager
To run startupmanager, either create an icon for /usr/sbin/startupmanager, or run
Simply uncheck "Show bootloader menu" and you won't be prompted to boot Windows any more.
1) is also quite easy, but it carries a warning: if you delete the wrong partition, then you will have to re-install, so it's always a good idea to create a backup first.
All you need to do is to delete the Windows partition. Go to System/Administration/Partition Editor, and select the Windows partition (the file system type FAT32 or ntfs). Right-click on it and select "format to", then "ext3". You can also choose to mount the partition on your system to make use of the freed up space.
Hope that helps,
—Robert J Lee.
PS: stress_junkie makes a good point; Windows is actually not bad at many things. Personally, though, I haven't used Windows on my own computer for about 8 years, and there are very few times that I've ever wanted a Windows machine for anything other than compatibility testing on websites.