If you want to have Windows and not the Ubuntu,simply boot with the Windows CD,delete ALL partitions and then install Windows on unpartitioned space that uses your entire hard disk drive.Windows will automatically create the partition on that UNPARTITIONED space after you select it.If you are going to put XP,be sure to rather use the SLOW format instead of the QUICK one.
You can also completely format your entire hard disk drive by using the KILL DISK DOS tool before performing any kind of Windows installation.But you dont have to of course.The above solution will do just fine.
Cheers!