Make a copy of grub conf first just in case... so IIRC do: sudo cp /boot/grub/menu.lst /boot/grub/menu.lst_backup
Then do: sudo vim /boot/grub/menu.lst. Find the line where it says default 0 (towards the top of the file). 0 corresponds to the first entry in the list, usually Ubuntu. On mine it goes Ubuntu, Ubuntu rescue mode, Memtest86+, "Other Operating Systems", Windows XP. So in my case, I needed to change it to default 4 for XP to be selected for boot by default.