i am not familiar with ubuntu, but i found this online, hopefully it makes sense to you...
>Find /boot/grub/menu.lst, it is some where there
> I'll try and help. I do not use ubuntu I'm only guessing at login.
> open a terminal, su, root password then in an editor VI or nano, what
> ever edit menu.lst (you did a backup first?) Add the entry for
> windows above your Linux entry, remember *Default* is a keyword. that
> should work.
>
> ## entry: title(Windows NT/2000/XP on hd0,0) root(hd0,0) chain
> # set windoze to default
> title Windoze 2000 Default
> root (hd0,0)
> makeactive
> chainloader +1
>
>
> Grub disk start at '0' not '1' your first partition on your first hdd
> is where Windows resides is (hd0,0) note '()' are necessary
you want it to always boot into XP...remove the ubuntu section, so that it will load right through, without asking... once into windows again, simply format the partition which contained it.
hope that helps, sorry about the mixup