It will install Ubuntu along side your Windows and modify the boot.ini file so you have a choice of operating system at startup.
You will need about 5gb of free space to do this...though more is better.
Be sure to backup all data you can't afford to lose. An image od yor current drive is best. That way you can restore it back if something goes wrong. But it won't.
Wubi is like strapping a Ferrari to the top of your Cobalt and making VROOM noises. :-)