Network manager is installed by default in Ubuntu. On 9.04 it should be under: system > preferences > network. It used to be under: system > administration, but they moved it to preferences in Intrepid 8.10 I think.
If for some reason you do not have network manager installed, you can install it like this:
sudo apt-get install network-manager network-manager-gnome
Did you happed to install wicd
by any chance? Network manager conflicts with wicd and will be automatically removed by APT when you install wicd.