See: https://help.ubuntu.com/community/How_to_dual-boot_Ubuntu_and_XP_after_installing_them_separately_on_two_HDs
Backup your menu.lst first:
sudo cp /etc/grub/menu.lst /etc/grub/menu.lst.bkp
Find out where your Windows hard disk is with (if you are confused here just post the result here and someone might help)
sudo fdisk -l
Then you need to add the new entry to grub with
sudo gedit /etc/grub/menu.lst
And then add the entry:
title Windows XP Professional root (hd1,0) savedefault makeactive chainloader +1 map (hd0) (hd1) map (hd1) (hd0)
