Cannot set root password
 

I've installed Ubuntu 5.10, but through the installation process there wasn't any option to set the root password! Is there a way to set it up now?

Ubuntu has a philosophy of never using the root account. So they don't set a root password, so you can't su.
I didn't like this philosophy myself, it really slows you down when you have to sudo everything.
Try this:

sudo passwd

The first password you are asked for is your user password, then you need to enter a new root password, twice.

It hasn't slowed me down any.

I would advise to zener (not bernied) to give sudo an honest try.

You can read more about it here:
https://wiki.ubuntu.com/RootSudo
http://www.psychocats.net/ubuntu/permissions

The first link explains what sudo is, what the pros and cons of it are (as opposed to the root/user model), and how to enable the traditional root model if you want (simply setting a root password does not enable the full model).

The second link gives you some tips on how to use sudo graphically (in case you like drag-and-drop for root tasks instead of typing terminal commands).

If you use sudo for a while and find it just doesn't jive with your style, again, that first link explains how to enable a more traditional Linux root model.

my humble apologies

Does this has something to do with the fact that I can't even read my Windows XP partition(NTFS)?
How can I change this?

Huh? I'm just saying zener should give it a shot before changing it. You clearly have given it a shot yourself and decided it's not for you--that's cool.

No, that's a totally different issue.

For that problem, follow this tutorial:
http://www.psychocats.net/ubuntu/mountwindows

Something else concerning the XP partition: the OS won't let me to create a shortcut of a file there to the Linux partition. How can I change this?

You're saying XP won't let you create a shortcut to Linux? Maybe you need this:
http://www.fs-driver.org/

Looks good, I'll check it out later. No, what I meant is that Ubuntu won't let to create a shortcut in the home folder for a dir in the XP partition? How can I fix this?

FS Driver, as it appears, is an extension for Windows to access Linux EXT2 filesystems.
If you wanted to modify files on NTFS from Linux, you would need to mount them writable. There's the Captive Driver to support that (as there doesn't seem to be such a driver in Ubuntu's repositories). - I haven't done that yet, too - it appears to require some reading.

As for the links, you cannot create them because the filesystem is not mounted writable. Furthermore, I found no way to edit existing links (i.e., changing the target).

What you can do is, to right-click on your desktop and choose "Create Launcher". In the field "Command", type "nautilus /path/to/folder". Dragging the folder into the field works; that will create the string "/path/to/folder" automatically.

Here's a better answer on how to create links

*ubuntu no root user password
 

I just installed xubuntu on a lowend laptop and found this a bit weird too.

Even weirder that all users have sudo root ability.

Anyway to get a root shell just do "sudo bash" typing your password.

then you can set your root user password with passwd.

YMMV I am no xubuntu expert for sure so maybe you shouldn't set the root password, but I dont see the harm if you know what you are doing and/or are prepared for any ill consequences...