The Wubi.exe is on the Ubuntu 1404 disk, not on Xubuntu1404 disk; (and when you launch it supports Ubuntu, Kubuntu, Lubuntu), but... doesnt support Xubuntu. Can anyone provide guidance? Thanks so much!
Take a look at http://ubuntuforums.org/showthread.php?t=2229766 for the forum staff recommendations on WUBI. It really is not for 14.04 anymore.
The Xubuntu folks decided they didn't want to support Wubi so it was removed from the choices. You could try and install 14.04 and then download the Xubuntu desktop. However, there are issues in installing 14.04. Wubi is currently not downloading the iso - it hangs / freezes / stalls. You can download it yourself via a torrent client or download manager or your browser and put it next to wubi.exe in a separate directory. But then there is a bug in the MD5 check that was introduced either in 12.10 or after 12.10, so you have to open a command shell and do "wubi --skipmd5check". This mostly works, but then you run into another bug that is discussed in an Ubuntu support forum and here. It may be best with Wubi to use 12.04.