You can make a mistake if you go outside of Windows on your computer while installing. But normally, if you install while inside Windows, then that will not remove Windows. A big mistake would be if you accidentally formatted (erased) Windows. If you are inside Windows while installing Ubuntu, you may be fine because you can install Ubuntu (Wubi) inside Windows to be like an application, a program. You could try a virtual box program which you can install on Windows which may let you use it boot into another OS or other programs while inside Windows.