When you install Ubuntu via Wubi, it creates a very large file to hold all those Ubuntu stuff. The whole file acts like a virtual disk. It is based on Windows, so if you remove Windows, Ubuntu will also be removed.
To have only Ubuntu on your computer, you will have to have a full install (instead of Wubi) of ubuntu on your computer.
You can have 2 options: Remove Wubi and do a clean installation of Ubuntu or Migrate Wubi to another partition(which, in other words, upgrade a wubi install to a full Ubuntu installation).
The first one is quite simple. Find "Ubuntu" in the "Change or Modify Windows Programs" panel in Windows. Right-Click and select "Remove". Then, install Ubuntu from a Ubuntu CD or DVD. Note that all the stuff in Wubi will be deleted.
If you want to keep the settings and files in Wubi, you can migrate the Wubi install to another partition. I personally don't recommend that, since a wrong step can render your computer unbootable. Read the UbuntuForums guide or the Ubuntu Wiki Guide for the steps. After that, you can remove Windows with How to remove Ubuntu and put Windows back on?
And Wubi can be slower than a Full Ubuntu installation, because it is based on Windows instead of standing on it's own.