what you are doing wrong is going through windows with the installation. If your hard disk already has some free (unpartitioned) space, you can simply leave the windows aside and install ubuntu just by using the DVD and ubuntu will set up the dual boot automatically.
Now, if your windows xp takes up your whole hard disk, you will have to resize the partition inside windows itself (to prevent disk errors), and leave enough space for the ubuntu and its swap partition.
Once you have your desired free space on the hard disk, just boot into the ubuntu DVD and follow the steps. If you are new to partitioning, you can get great help from:
Ubuntu is actually the easiest GNU/Linux to install and the ubuntu community website guides you well:
All the best.