You might want to consider using the CD instead of the USB Stick. Then, the option to install alongside your existing OS might be available.
What version of Ubuntu, and what installer are you using?
I'd recommend re-downloading the ISO, and actually burning it to a disk. Writable CD's are fairly cheap at Wal-Mart or wherever; I got a 50-pack for $20 or so. (I can't remember how much, exactly, but they're fairly cheap. I ended up using them for all kinds of things, and it's lasted me forever, so I'd actually recommend buying a few just to have them.)
(The reason I recommend re-downloading it is that you may have gotten an outdated, incorrect, or unofficial version. There may have also been an error in the download, although that's fairly unlikely.) The official download page for the Desktop edition installer is http://www.ubuntu.com/download/desktop.
Get the "Standard" installer unless your computer is truly ancient, as it is easier to use and more user-friendly (and therefore more likely to offer pre-configured partition options, such as installing alongside an existing OS.)
If none of that helped, and you end up "forced" into a manual partitioning, then remember that the Windows partition will be an NTFS partition. I believe that this will be labeled as "Type 7".