Proceed cautiously! You can safely choose "Something else" and you will be shown how your hard drive is arranged and from there it might be easier to make a decision.
If, for example, have only one partition and it is entirely taken up by Windows, you'll need to do a bit of rearranging, such as shrinking the Windows partition and leaving some unallocated space for use by Ubuntu. If this is the case, I'd suggest shrinking the Windows partition from within Windows itself and just leaving the freed-up space as unallocated. Then, when you boot again from CD, DVD, or USB to install Ubuntu, it'll show you another option, i.e. to install Ubuntu next to Windows.
How big you make your partitions (Windows & Ubuntu) will depend upon the size of your hard drive and upon how you plan to use things, but I'd recommend giving Ubuntu at least 50 or 60 GB to get started.