Wubi is an official installation of the popular ubuntu linux distrobution. The cool thing about Wubi is that it is installed/integrated with Windows. You can basically install Wubi just like any other Windows application. Since Wubi adds an entry to the Windows boot menu which allows you to boot into ubuntu instead of Windows.

The beauty of this installation is that ubuntu is installed within a file and NOT a full blown installation. This allows you to safeguard your Windows environment but also have a real live kicking Linux distribution to play with. A step up from a Live CD.

Take a look at http://wubi.sourceforge.net/