I share the exact profile I already had with WinXP before installing Ubuntu as a dual boot.
On Ubuntu, Thunderbird stores your profile.ini file in .thunderbird under Home (show hidden files enabled in nautilus to find it).
On WinXP, Thunderbird normally stores your profile.ini in c:\Documents and Settings\username\Application Data\Thunderbird\Profiles (Different versions of Windows store this folder in different places)
Before you start, make a complete copy of your profile folder, subfolders and their files in Windows as a backup.
To share your existing Windows profile with Ubuntu, navigate to your profile.ini on Windows, open it and make note of where the path to your profile folder is. Navigate to that path in Ubuntu and copy the complete path name (if you're using Nautilus, open a terminal and drag the path folder icon to the terminal to get the complete path name).
Once you've copied your complete path name, open the profile.ini in your Home .thunderbird folder and enter that as the "Path=" parameter. Change "IsRelative=1" to "IsRelative=0". Save and exit.
Now you can use your existing Windows Thunderbird profile in Ubuntu and back and forth.
You have to make sure your Windows partition with the profile is mounted before launching Thunderbird in Ubuntu.
You may also run into Thunderbird checking for add-on updates anytime you switch between your Windows and Ubuntu Thunderbird. Just let it run.