Here is a howto
for installing Ubuntu.
The first thing I will tell you is to backup anything important (personal files, etc) that you don't want to lose if something goes astray. Although I've never had a problem, whenever you do something like this you might.
The second thing is what type of hardware do you have (computer model or motherboard, amount of RAM, video card, modem, sound card, ethernet card, etc). I assume you know you have a 64-bit processor if that's what you're downloading. Windows Modems and USB modems generally cause problems. So if that's your only access to the internet, you might have some trouble initially. I just want to make sure you get a linux that will install on your hardware and be easy for you to use (Ubuntu won't run with less than 128MB ram). Also, you can take the two quizes in my signature and see if there's a distro you like better.
1. I don't know what you mean "bridge", but the Ubuntu installer will probably ask you to shrink your Windows XP partition to make room for Ubuntu. The installer should have all the tools to do this. If not, use a LiveCD like GParted Live
to resize your XP partition.
2. You should be able to uninstall Ubuntu at any time using the Live Cd. I'm not sure about Windows. the one thing you'll have to do is use your windows XP disk to fixmbr
or repair windows first (see #3).
3. Ubuntu will put Grub (a bootloader) into the Master Boot Record (mbr) of your drive. This will take over the boot loading from Windows NTLDR. If you delete linux without first restoring the windows NTLDR (using your windows CD), then you will not be able to load windows again until you either A) restore NTLDR or B) install another bootloader like XOSL or C) use a bootable disk like Smart Boot manager.
Fat32 is the filesystem developed by microsoft for Windows 95/98/ME. Linux has good read and write support to this filesystem. XP was probably installed using NTFS (the newer filesystem, which linux can read from, but not write to -- i.e. you can read files but can't alter or save them).
When dual booting, generally it is good to make a partition or leave free space at the end of your drive that you can format as Fat32 to share files between linux and windows.