This is a great question.

First, you have probably learned that you can use Ubuntu's APPLICATIONS > INTERNET> TERMINAL SERVER CLIENT program to remote desktop to Windows machines.  Going the other way is a bit more challenging.

You need to have two things in place:

1. You must enable remote desktop connections in Ubuntu.  You do this by navigating SYSTEM> PREFERENCES> REMOTE DESKTOP.

Then allow others to view/control as necessary.  There is also an option to place a password for security.

2. You must have a VNC tool on the Windows system.  My suggestion is the free and light TightVNC.  You can download it here: http://www.tightvnc.com/download.php

Make sure you turn off the Server function, then navigate START> ALL PROGRAMS> TIGHTVNC> TIGHTVNC VIEWER.  Enter the IP or name of the Ubuntu machine and all should work perfectly.

Hope this helps!