Yes, if you want to run them side by side (or technically, one inside of the other), you'll need to install Ubuntu in a virtual environment as a virtual machine (VM).
There are several virtual machine applications that you can use to install Ubuntu. In my opinion, a quick and free way is to use VirtualBox.
There are, however, limitations when running virtual machines, because they actually do not have access to the hardware, so don't expect to play games smoothly and all that. Nonetheless, an Ubuntu virtual machine is a great way to get acquainted with it.
If you're looking to remove the Ubuntu you installed, then you're in luck, because it's easy. Since you've installed Ubuntu using Wubi, you can easily uninstall it by going to your Add/Remove Programs in XP and uninstalling Ubuntu from the list, just like you would uninstall any other program.
Note: If you decide to go with VirtualBox, don't forget to install Guest Additions in your Ubuntu virtual machine, because without it, your Ubuntu might be very slow. If you go with VMware, don't forget to install VMware tools.