F12, when it has any affect at all, usually has the affect of bringing up the BIOS's boot menu where you can select between physical devices to boot. It does not facilitate selecting between different operating systems on the same device.
You installed Ubuntu inside Windows XP using
wubi.exe, so your Ubuntu system was installed inside the Windows XP partition and should be available from the Windows boot menu. If Windows boots up without giving you the option to choose between Ubuntu and Windows, this should help you.
If not, please expand your question to provide more details, including what happened when you tried that.
If you had installed Ubuntu by itself (using the entire disk) or alongside Windows (both methods involve booting from a CD/DVD or USB flash drive. After installing, if you cannot boot Ubuntu, the solution is to reinstall Ubuntu's GRUB2 boot loader to the Master Boot Record. See:
Starting a Standalone Installation
When you start a standalone installation of Ubuntu by booting from a CD/DVD or USB flash drive, you do often have to tell your computer to boot from the CD/DVD/USB instead of the hard disk. In that case, for many machines (particularly, Dells), you would press F12 to select a boot device. So if that is not working:
- Make sure F12 is the correct key for your computer, as this is not universal. Soon after you power on the computer, it should tell you briefly what key to press to access the boot menu.
- You can go into the BIOS Setup instead and change the boot order. On many machines--at least Dells--the key for that is F2. Other common keys are F10, Escape, and Delete.
- If you're booting from a CD/DVD make sure it was written from an ISO with a good MD5SUM, burned with proper technique (here's one way), and try writing it at the slowest possible speed (this can reduce errors).
- If you're booting from a USB flash drive, make sure it was written from an ISO with a good MD5SUM and written with proper technique (here's one way, here's another).
- Not all computers support booting from a USB flash drive--older computers often do not. Furthermore, the computer can be confused as to which device to boot when there are multiple USB drives plugged in (whether they're flash drives / pen drives or full-size external hard drives connected via USB). I recommend disconnecting all USB drives (and devices that are in some ways treated like drives, like portable music players) from the computer before attempting to boot Ubuntu from a live USB.