No (big) problem...
I'm not sure that 4 partitions is enough though, it is likely that your Ubuntu install uses two partitions, one for Ubuntu itself and one swap partition (similar(ish) to the Windows swap file pagefile.sys but on its own partition). So you probably already have 4 partitions; Windows 7, Ubuntu, Ubuntu swap and data.
This could cause you a bit of a problem because Windows likes to install itself into a Primary partition, and you are only allowed four of those on your hard disk, and if you want to use more than four partitions, one of those four has to be an "extended" partition, basically a container for all the others.
So you need partitions something like:
- partition 1 - Windows 7
- partition 2 - Windows XP
- partition 3 - Ubuntu (system)
partition 4 - Extended
partition 5 - Swap (Ubuntu) (part of partition 4)
- partition 6 - data (part of partition 4)
I would partition the two Windows partitions and the data partition as NTFS, Ubuntu will read and write from NTFS partitions quite happily.
How you go about resizing / moving what you have, and how to install XP without making a mess of your current booting scheme depends on how you are currently set up.