While running Wubi.exe got from Ubuntu 8.04.4 LTS (Hardy Heron) download page http://releases.ubuntu.com/8.04/,

The error shown in screenshot occurs.

The problem seems to be because of mismatch between Wubi.exe and download URLs in http://releases.ubuntu.com/8.04/. To solve this problem download the Wubi.exe for 8.04 from Wubi SourceForge site http://sourceforge.net/projects/wubi/files/Wubi/