By default Ubuntu assumes that the BIOS clock is set to UTC and adds or subtracts the appropriate amount of hours from it to get your localised system time. By contrast, Windows sets its system time directly to the time shown by the BIOS clock on boot. Thus, Windows assumes BIOS clock to be in your local time.
If Ubuntu keeps showing the correct time automatically and Windows keeps reverting to UTC, your Ubuntu installation is probably set to automatically get the correct time from a time server on boot.
The easiest way to fix the problem is to edit /etc/default/rcS and change the line that says UTC=yes to UTC=no. You can open the file for editing by opening a terminal and entering:
sudo nano /etc/default/rcS
Then simply find the appropriate line, replace yes with no, and save. If you prefer a graphical text editor try using gedit (Ubuntu) or kate (Kubuntu) instead of nano in the above command.