It appears that you are behind a proxy web server that requires authentication. Wubi is trying to download the Ubuntu image file and failing.
See this old discussion on HTTP Proxy for wubi. Also see Wubi "could not retrieve the required disk image".
One solution is to download the image manually and then tell wubi where to look for it.
Even though you plan to put Ubuntu in its own partition, Wubi will use a virtual partiton , a big file called root.disk to install the operating system and all the user data. Because of this, compared with a regular installation, a Wubi installation faces some limitations.
In the Wubi installation the filesystem is more vulnerable to hard
reboots. Also, if the Windows drive is unmounted uncleanly (most
commonly because of a Windows crash), Ubuntu will not be able to
mount the Windows drive and boot until Windows has successfully
booted and shut down. If the Windows system cannot be booted after
the crash, the user also cannot boot Ubuntu.
Performance related to hard-disk access is also slightly slower,
more so if the disk image file is fragmented, on a Wubi install
compared to a normal one.
See more at: What's the difference between Wubi and a regular installation?
Since you have already create a partition for Ubuntu, it will be ideal to do a proper (not wubi) installation of Ubuntu in its own partition. This will allow you to format the Ubuntu partition ext4 and use it more effectively.