There is one central issue here: how did you install Ubuntu?
This is also in answer to chrisrob's question.
There are two main ways of installing Ubuntu:
1) The 'proper' way. Since it is an OS and not just another Windows program, it goes on its own partition(s) on your hard drive, separate to Windows.
2) With Wubi. This is a simple tool that effectively installs Ubuntu into a file on your Windows machine, keeping an image of your Ubuntu install.
With 1) you remove the OS by removing that partition. I would suggest using a program like Partition Magic in Windows to remove the Ubuntu partition, then stretching your Windows partition back so you gain the space. Alternatively, you can use GParted, which is on the Ubuntu live CD (any many other Linux live CDs).
2) With Wubi, I understand (though have never done this myself), that Ubuntu simply appears as a program under Add/Remove, which you can remove as usual. This is what chrisrob has probably done.