Update for Ubuntu 18.04 and above
New installations of recent versions of Ubuntu does not use a separate swap partition any more. They use a swap file by default.
If you choose "Replace Windows 8 with Ubuntu" it will format the whole physical drive and you will lose your data partition! See: How do I recover my accidentally lost Windows partitions after installing Ubuntu? for an example of someone who made this mistake.
To do what you want, you have to take matters in your own hand and choose "Something Else..."
This choice will let you choose which partition to delete and reformat. A slip of your finger may cost your data. Make two backups in external media before going any farther.
The partition structure used by Ubuntu is different from Windows. You will need at least two partitions, the root (also known as
/) and the swap, to run Ubuntu properly. The root is to be
ext4 format with mount point
/ and the swap has its own format and requires no mount point. Creating a separate partition in ext4 format with mount point
/home is also a good idea. This is the rough equivalent to Windows data partition. It needs to be in ext4 format as it keeps your personal configuration files as well, and those need specific permissions.
See partitioning suggestions for some details on Ubuntu specific partitions.
See Does it make sense to create swap partitions for new installations nowadways?
Also see https://help.ubuntu.com/community/PartitioningSchemes
Hope this helps