Congrats on getting Ubuntu installed. For future reference here's an alternate, albeit seemingly complex method:
My DVDRW drive blows, and correctly burns things about 25% of the time.
So, I resized my current partitions to create a 800MB partition, copied the contents of the downloaded ISO there, and booted from that partition.
Note: you can use programs such as gparted, cfdisk, fdisk, resize2fs, mkfs, etc, for the above.
Also, you will have to configure your boot loader.
If you can indeed boot from your CD drive, you can usually find a live CD with gparted installed. Make sure you backup any important information before you mess with your partition table.
I use Zenwalk Linux, and FreeBSD, and installed them with the above method.
Ubuntu should now come with "wubi", which is a windows ubuntu installer if I recall correctly. I haven't used it, though, so use at your own discretion. I also have Xubuntu Hardy Heron installed on a laptop, but I installed with the alternate install CD, not wubi.
Also, you will want to mount the partition where the CD would normally be mounted during install if the OS you're installing is going to look for files there.
(Hopefully that was worth bringing this thread back up again.)