Note that you'll probably need/want the i386 version of Ubuntu server - and you install it from the ISO (you don't have to burn the ISO to a CD). And you'll probably want to give it at least 300MB of RAM.
Also if you want a network connection to your Ubuntu server from Windows, you may run into the issue I describe here unless you set up "bridged" networking mode in Virtualbox.
If you need it to be specifically Ubuntu server, and you want to run it in Windows, the best way would be to run it inside a virtual machine.
That way, Windows stays running and Ubuntu will run in a box inside Windows as if it's another Windows program.
My choice of virtual machine software (particularly on Windows) is Virtualbox.
Here is a step by step guide if you want it. Hopefully it's not too out of date.
Note that you'll probably need/want the i386 version of Ubuntu server - and you install it from the ISO (you don't have to burn the ISO to a CD). And you'll probably want to give it at least 300MB of RAM.
Also if you want a network connection to your Ubuntu server from Windows, you may run into the issue I describe here unless you set up "bridged" networking mode in Virtualbox.