The equivalent act in Ubuntu is going to System → Preferences → Keyboard and selecting the Layouts tab. Then click on the "Layout" name and select the "Keyboard Layouts" button. This will provide a list of most of the key assignments that can be altered in Ubuntu.
You may want to check and make sure that Ubuntu has properly identified your keyboard. In my case, it was selected as a "Generic 105-key keyboard." By clicking beside "Keyboard model," I was then able to select "IBM" under "Vendors" and find "IBM ThinkPad R60/T60/R61/T61" under "Models."
The first question to ask is what functionality one desires from the "Windows" key. In Windows, it's often labeled "Start" and pressing it brings up the main menu. Ubuntu defaults to assigning this to Alt+F1, which is non-intuitive for Windows users.
Setting the Windows key to activate the panel menu involves two steps. The first is assigning the Windows key to become the "Super" key, which hopefully will already be the default. Then the second step is assigning the Windows/Super key to bring up the main menu.