Regardless of whether you use Wubi or set up a separate partition, your Windows install should remain safe. As with any major system change though, you may want to backup any data from Windows you consider important before proceeding, and ensure you fully understand what you are doing at every step of the install process.
If you have any further questions once you begin, please don't hesitate to search this site or the Ubuntu Forums for additional help. If you can't find a similar issue someone else had, then go ahead and post a new question. We're here to help!