This happens when Ubuntu is not able to install itself alongside Windows. There may be two possible causes:
1. There is no way that Ubuntu can create a partition for itself. This is mostly the case when the disk contains already for primary partitions, but no extended partition.
2. The disk is converted to a dynamic volume using the Windows partition manager.
In any case it would help to see the partition-layout. Start from your Ubuntu-CD and post the output of
(that is an lowercase L, not the number 1).
Alternatively, if you don't want to mess with the partitions, do a Wubi install (install Ubuntu from a running Windows) or use a VM, like Virtualbox, to install Ubuntu.