You should allow the bootloader to control the disk's MBR (master boot record). In order to do this, I believe you need to choose the first (default) option. You don't want to install on any of the partitions (the numbered /dev/sda1,2,3,etc).
Once you reboot, you'll see a new boot page (no longer in control by MS Windows) created by GRUB. It will have a couple options for Ubuntu, a memory test probably, and then an entry for your Windows. You can move up and down with arrow keys to choose what you want at boot time. If you do nothing, the default (1st item on the list) will boot in about 30 seconds or so.
Last edited by vtel57; 04-29-2011 at 10:19 AM.
Reason: Corrected misspelling.