What type of networking you need is mostly up to your use case.
-host-only: you probably don't want this.. this will your VM talk ONLY to windows. No ubuntu updates, package downloads, no contact with the outside world from your VM
-NAT: if want/need your VM to effectively share your windows machine's IP and only receive incoming connections from your windows machine, this is the way to. The really nice thing about this option is that as you move from place to place (common if it's a laptop) the IP of your VM will stay constant even as you change networks and ip ranges on your main machine so it'll always to a snap to connect to. If you need other machines on the network to talk to your VM, though (running a webserver?) this isn't what you want.
-Bridged: this effectively makes your VM an 'independent' member of your network. It'll have its own MAC address, its own ip (assigned or it can do DHCP on the network). Imagine plugging you windows machine and your VM into a network hub and plugging that hub into the wall -- same idea but virtual. If you're using wifi, you won't need to connect to wifi in your VM, you'll just connect through whatever wireless network windows connects to with the above benefits/detriments.
Ss for the Bridge problem: Just below "bridged adapter" there is "Name". You need to choose which adapter you're bridging to, so open that dropdown and choose your main adapter. (if you do an ipconfig /all in a cmd prompt you can find the name of your mail interface by whichever one has your operable IP address