Wubi is an unofficial Ubuntu installer for Windows users that will bring you into the Linux world with a few clicks. Wubi allows you to install and uninstall Ubuntu as any other application. If you heard about Linux and Ubuntu, if you wanted to try them but you were afraid, this is for you.
Ubuntu is installed within a file in the windows file system (c:\wubi\disks\system.virtual.disk), this file is seen by Linux as a real hard disk.
Windows Vista is not supported at the moment but you may try to search the support forum for a manual solution (good luck).
Source : Wubi Official home page