When I was testing the application, which you can download via this link, it could not connect to a download site for ubuntu alternate image. So, I checked c:\wubi\install\ubuntu-7.04-alternate-i386.iso.metalink and used one of the US sites to download it.
I copied both the alternate image and wubi executable to the same directory and then ran the executable. GUI part is quick, actual installation takes sometime. It's advised to defrag your machine prior to installing it.
This is a cool idea and I hope it gets official acceptance from Ubuntu! Check out Wubi Forums if you are interested.