this should only happen if you chose to install Ubuntu through windows (i think the software is called Wubi, or something) it basically lets ubuntu install onto your ntfs/fat32 drive and negates the need to format or resize hard drive partitions.
if this is the case its totally fine and nothing to worry about, everything will be set right if you uninstall Ubuntu via windows control panel.
if its any help, tis is not the best way to experiance Ubuntu, i would recommend an install onto a second hard drive formatted in a linux native file format.
I use linux alot for many reasons, if your machine is powerful enough to dedicate a good chunk of memory and resources to it a Virtual Machine (sun virtual box is free and great) its by far the most useful OS you can have knocking about.
Hope this helps
(sorry for spelling errors, old machines, no spell checker and im lazy)