Linux strongly prefers using a different filesystem type than what Windows uses.
Windows natively understands NTFS, exFAT, FAT32 and VFAT; Linux prefers Unix-style filesystem types like ext4, XFS, or btrfs. These filesystem types are something Windows won't support at all without extra drivers, which may or may not exist for each filesystem type.
NTFS and VFAT/FAT32 will preserve case but are case-insensitive by default; Unix filesystems are almost always fully case-sensitive, so
file.txt are unquestionably two different filenames. Windows filesystems use ASCII/CP437 or UTF-16 for filenames, while modern Unix filesystems almost always use UTF-8 character encoding.
And for the most important reason, the way Unix-style filesystems store the file ownership/permission information is different from how NTFS does it. An Unix-style filesystem also needs to support things other than files and directories: hard and symbolic links, device nodes, named pipes and UNIX sockets. All of these are awkward or impossible for the native filesystems of Windows.
If you chose to "Shrink Volume" on your D: drive, it should not destroy any files or folders, but it will shrink the size of that disk partition so that the amount of free space on that Windows drive is reduced for the amount you chose. That space will be used for creating a new disk partition that will be marked as a Linux partition, so Windows may show it as a new drive letter with type RAW, or not show a drive letter for it at all.
(If it appears as a drive letter, you probably should go to Windows Disk Management and set "no drive letter" for the Linux partition, so it won't confuse you & clutter up Windows Explorer views needlessly.)
But if you chose to overwrite your existing D: drive, then any existing data on that disk partition/Windows drive letter will be lost.
Ubuntu's installer is generally very user-friendly and will clearly warn you before doing anything that might be unrecoverable/destructive.