Hey there, welcome to LQ!
Sounds like you did not do anything wrong - it sounds like a successful installation.
Note that I haven't seen nor used a Windows OS for a few years, so what I'm going to say is based on how things historically have been - Vista & Win-7 are new and unfamiliar to me, so if it's different on them than it used to be with XP, I'm sure someone will correct me soon enough.
1) Ubuntu does its install stuff mainly automatically, and pretty reliably. It sounds like during the install, it simply identified any/all other partitions on your HDD (as well as identifying any other drives too) and gave you a means to access them. So any partitions you had previously made, like for "documents" or "programs" will have maybe a desktop link to access them, and/or an item in the file manager (Nautilus) for opening/accessing those other partitions.
2) As for Windows not seeing your Linux partition.. This is normal too, because historically, Windows OS's are unable to read Linux file systems, such as something like Ext3 or Ext4 perhaps, that is being used for your Ubuntu / partition (/ means 'the root partition'). So, from a Windows vantage point, that space that's formatted in some Linux file system, is basically "not there" to Windows. Conversely, Linux can identify and read pretty much any file system out there, including NTFS, FAT, or whatever.
These days, there are applications or tools which can be installed in Windows, which provide a means for dealing with some Ext2/3 and maybe similar Linux file systems from Windows, but as implied above, I have never tried them and have no idea how well, or not, they work. In Linux, there have been tools available for quite a while now, and which are included with Ubuntu, that allow for interaction with NTFS file systems.
Hope that clarifies a bit for you - but if I've neglected to understand something, feel free to correct me on something or explain something differently.
Best of luck; have fun with you new Ubuntu system.
