The main advantage of using UNetbootin is that you do not need a CD for some of the distributions, because it is capable of downloading from the Internet (as it does Wubi with Ubuntu) and install them on the selected location.
For those distributions that are not available on line, UNetbootin allows you to install them with an image on a disk or a version that is stored in the Kernel or Initrids disk.
Do not worry about starting up the program, because UNetbootin sets up a dual boot after installing the distribution you selected. This is independent of the Windows operating system you have.
It supports Windows 2000, XP and Vista.