This is a new patch to Wubi introduced with Ubuntu 14.10 that spares users such as yourself who have computers with EFI firmware from installing Wubi only to find that it doesn't work. What used to happen is that the install would have appeared to succeed (in Windows), sometimes after downloading 1GB of data, only to find upon rebooting an error message about wubildr.mbr being corrupted.

Now Wubi checks and helpfully refuses to install, thus saving you a lot of pain. Do a normal dual boot as suggested here: Installing Ubuntu Alongside a Pre-Installed Windows with UEFI

Note:

Wubi.exe is also set to autorun when you insert an (K)Ubuntu DVD in Windows. Even if you don't intend to install Kubuntu using Wubi it will autorun and then terminate with this popup on EFI computers.