WUBI or the Windows UBuntu Installer (rev 269) is not able to install Kubuntu 12.04 because the download link coded up in the app seems to be broken.
Looking at the output log file, C:\Users\<me>\AppData\Local\Temp\wubi-12.04-rev269.log I saw the following error:
09-03 16:30 ERROR CommonBackend: Cannot download metalink file http://releases.ubuntu.com/kubuntu/12.04/kubuntu-12.04-desktop-amd64.metalink err=[Errno 14] HTTP Error 404: Not Found
Searching around on google, it turns out that this is a known bug and the solution is to download the iso file and keep it in the same folder as the downloaded wubi.exe file.
I think the correct metalink file is meant to be the following:
I followed the instructions from the solution and got the kubuntu-12.04.1-desktop-amd64.iso file using the torrent and then the Kubuntu installation worked smoothly.