Never had a problem with dual booting windows xp and Mandrake/Red Hat/Mandriva. I'm gonna try Ubuntu in a week or so after the exams. But I don't suspect it to be different from the others. Have you used Partition magic or another partitionmaker to make an Ext3 first? Or just let the Ubuntu-install do it?
Just a tip for not having to dual boot from Linux to Windows just for some music: you can access the Windows partition without a problem in Linux and so accessing all your files.
I'm glad to read at the end it worked out fine

. Did you remove Ubuntu or are you still using it?