So you installed Windows first and XP later? Think you said you did, but this usually occur when you do it the other way around, since Windows overwrites GRUB. It is easy to fix. Think this is how:
1. Boot into the Ubuntu Live-CD.
2. Open a terminal.
3 You may have to type this in there, but I am not sure:
4. Now you must found out what the partitions are called, think this command will list that:
Ubuntu will label drives and partitions with names like sda1, sda2 and so on. Grub uses another system to identify drives and partitions, but it is quite easy to convert between the two. I think it is that the number at the end of the "sda/sdb/whatever-ubuntu-calles-them" is +1 then the system grub uses, but I am not sure.
5. Type the following to enter grub:
6. Type the following two commands (the X is the number I spoke of before, when you looked up what partitions are called in Ubuntu):
root (hd0,X)
setup (hd0,X)
7. Type the following to exist grub:
8. Now it is just to restart and see if Grub appears.
However, note that if Windows does not appear in the menu, you will have to add it yourself. This is quite easy, Grub has a text file that it reads to get what is in the menu, and all you have to add is a Windows entry and a few details about it (such as where it boots from).
Anyway, here is the site I used to get how to recover Grub (I just googled and took the first thing that came up):
https://help.ubuntu.com/community/RecoveringUbuntuAfterInstallingWindows
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