Comment 13 for bug 10824

This happened to me several times. The common factor when grub was not detecting windows was that windows was HIBERNATED instead of shutdown. It seems that when windows is in hibernated state, grub fails to detect it's presence.
I hope one of the ubuntu developers could pass this "bug" to grub developers.

In any case, to fix the problem just head this way: (Spanish)
http://mundogeek.net/archivos/2008/04/26/anadir-windows-al-menu-de-grub/#more-1473

In short, you should add to /boot/grub/menu.1st the following lines:

title Windows XP
root (hd0,0)
chainloader +1

change hd0,0 to the drive and partition where you have windows installed.