How to create a shared partition between Ubuntu and Windows

That huge unallocated space you have is perfect for enlarging your existing extended partition. Since Ubuntu can interact with NTFS (Windows) partitions, but Windows cannot interact with EXT4 (Linux) partitions, your best option is to create an NTFS partition in that free space.

First click /dev/sda4 and drag it to the right, then create another partition inside the free space.

Windows allows you to change the location of certain user folders, such as Downloads, Documents, Music, etc. You can do that from each folder's Properties. It would help with integration to change their locations to somewhere on the data partition.

You can then follow this answer to setup up shortcuts from Ubuntu to the corresponding directories on the data partition.

You should be able to access the windows drive from ubuntu (unless windows is only hibernated, then it's locked) therefore the easiest way is simply to store your personal data on the windows partition.. Downloads folder is configured in Web browser, documents in any office app you use...so it shouldn't require setting anything in the system

The easiest way it to just use a file system that both OSes can read natively. NTFS and fat32 are the two primary choices. The partition then should be available for mounting in both OSes.