Yep, certainly
you've got 2 options

1)
Boot from the CD and go through the installation process
when you get to the partitioning stage, choose to resize your windows partition to make room for linux
(give Ubuntu 5Gb as a minimum)

^^ this assumes you have only 1 hard disk, if you have multiple, you can skip the resizing of the windows partition

2)
While booted in Windows, run Wubi (which is on the Ubuntu CD)
this will create a virtual hard drive within your windows partition - Ubuntu is installed onto the virtual drive
- The advantage of this is no alterations to the disk partitioning - uninstalling is easy (Ubuntu even added to the windows add/remove programs list)
- disadvantage is a slight performance loss due to using a virtualised hard disk - also, if windows goes tits up, it'll probably take Ubuntu with it