You might also find the following 'screenshot tutorial' helpful. This
shows how to enable "internet connection sharing" in Windows XP. Vista
should be fairly similar.
This should be all you need to do on the windows side. Ubuntu would
have been set up by default to recognise that Windows is sharing it's
connection and correctly make use of that. If you've changed the
network settings in Ubuntu you will need to revert to the default
'Enable roaming mode'.
The last two screenshots are purely diagnostic. You should see that
Windows has given it's Ethernet interface the address 192.168.0.1 and
when Ubuntu connects, it will automatically be given a similar
address, eg 192.168.0.2 and will have been told to use 192.168.0.1 as
it's gateway and DNS server.