I've downloaded an Ubuntu Desktop ISO manually. Downloaded Wubi -> double clicked on Wubi.exe, nothing at all happens.
Tried all versions up to rev 134.
The only thing I can see in %temp% is a few of these pyl44.tmp.exe.
<?xml version="1.0" encoding="UTF-16"?>
<DATABASE>
<EXE NAME="pyl44.tmp.exe" FILTER="GRABMI_FILTER_PRIVACY">
<MATCHING_FILE NAME="pyl41.tmp.exe" SIZE="23040" CHECKSUM="0x45C0BD27" MODULE_TYPE="WIN32" PE_CHECKSUM="0xD58C" LINKER_VERSION="0x10000" LINK_DATE="05/07/2009 00:59:43" UPTO_LINK_DATE="05/07/2009 00:59:43" />
<MATCHING_FILE NAME="pyl43.tmp.exe" SIZE="23040" CHECKSUM="0x45C0BD27" MODULE_TYPE="WIN32" PE_CHECKSUM="0xD58C" LINKER_VERSION="0x10000" LINK_DATE="05/07/2009 00:59:43" UPTO_LINK_DATE="05/07/2009 00:59:43" />
<MATCHING_FILE NAME="pyl44.tmp.exe" SIZE="23040" CHECKSUM="0x45C0BD27" MODULE_TYPE="WIN32" PE_CHECKSUM="0xDF32" LINKER_VERSION="0x10000" LINK_DATE="05/09/2009 00:23:41" UPTO_LINK_DATE="05/09/2009 00:23:41" />
</EXE>
<EXE NAME="msvcrt.dll" FILTER="GRABMI_FILTER_THISFILEONLY">
<MATCHING_FILE NAME="msvcrt.dll" SIZE="343040" CHECKSUM="0x62160733" BIN_FILE_VERSION="7.0.2600.5512" BIN_PRODUCT_VERSION="6.1.8638.5512" PRODUCT_VERSION="7.0.2600.5512" FILE_DESCRIPTION="Windows NT CRT DLL" COMPANY_NAME="Microsoft Corporation" PRODUCT_NAME="Microsoft® Windows® Operating System" FILE_VERSION="7.0.2600.5512 (xpsp.080413-2111)" ORIGINAL_FILENAME="msvcrt.dll" INTERNAL_NAME="msvcrt.dll" LEGAL_COPYRIGHT="© Microsoft Corporation. All rights reserved." VERFILEDATEHI="0x0" VERFILEDATELO="0x0" VERFILEOS="0x40004" VERFILETYPE="0x1" MODULE_TYPE="WIN32" PE_CHECKSUM="0x57341" LINKER_VERSION="0x50001" UPTO_BIN_FILE_VERSION="7.0.2600.5512" UPTO_BIN_PRODUCT_VERSION="6.1.8638.5512" LINK_DATE="04/14/2008 00:12:56" UPTO_LINK_DATE="04/14/2008 00:12:56" VER_LANGUAGE="English (United States) [0x409]" />
</EXE>
<EXE NAME="kernel32.dll" FILTER="GRABMI_FILTER_THISFILEONLY">
<MATCHING_FILE NAME="kernel32.dll" SIZE="989696" CHECKSUM="0x2D998938" BIN_FILE_VERSION="5.1.2600.5781" BIN_PRODUCT_VERSION="5.1.2600.5781" PRODUCT_VERSION="5.1.2600.5781" FILE_DESCRIPTION="Windows NT BASE API Client DLL" COMPANY_NAME="Microsoft Corporation" PRODUCT_NAME="Microsoft® Windows® Operating System" FILE_VERSION="5.1.2600.5781 (xpsp_sp3_gdr.090321-1317)" ORIGINAL_FILENAME="kernel32" INTERNAL_NAME="kernel32" LEGAL_COPYRIGHT="© Microsoft Corporation. All rights reserved." VERFILEDATEHI="0x0" VERFILEDATELO="0x0" VERFILEOS="0x40004" VERFILETYPE="0x2" MODULE_TYPE="WIN32" PE_CHECKSUM="0xFE572" LINKER_VERSION="0x50001" UPTO_BIN_FILE_VERSION="5.1.2600.5781" UPTO_BIN_PRODUCT_VERSION="5.1.2600.5781" LINK_DATE="03/21/2009 14:06:58" UPTO_LINK_DATE="03/21/2009 14:06:58" VER_LANGUAGE="English (United States) [0x409]" />
</EXE>
</DATABASE>
Windows XP SP3
Please let me know if you need more info.