I'm curious to try this, alas, I don't want to lose existing data. Will the Wubi install wipe my harddrive or will it install and run just like any other program?
It uses the Windows interface to install Ubuntu along-side Windows, so the Windows dialog will appear on startup saying something like...
So, to answer your question, no. If you decide to uninstall Ubuntu later, then you will lose data associated with Ubuntu, If you decide to uninstall Windows later, you will lose data associated with Windows. But just to install, no.