I recently installed Ubuntu. I didn't install it from a disk, I downloaded it directly from the site and installed from Windows. Is there a way to maybe switch back to Windows now? I want to in order to use iTunes and sync my iPhone.
You are, in effect, asking about a few different possibilities, already covered by some existing questions:
You cannot seamlessly switch between your Ubuntu system and your Windows system, without rebooting, except by creating a virtual machine. (And if you do that, it will be a separate virtual system, not the same Windows system as is installed normally. Your Windows partition hosts the disk image containing your Wubi installation of Ubuntu, making virtualizing the installed system itself even more difficult and risky than it ordinarily would.)
If you need more details or need help getting any of these to work, you can edit your question to provide more details.