For just playing, wubi is a good way to do it. It makes a kind of fake dual boot, and it's easy to remove if you decide you don't like it. wubi is the method you'd be using if you did it while inside Windows.
The other way is by doing a proper dual boot. You'd do that by booting to the Ubuntu CD. I haven't installed in a long time, so I can't remember the exact verbiage, but it should be obvious how to set it up. You'd tell Ubuntu to use the free space available to it.