I've had this problem with Ubuntu and the answer was to reinstall Ubuntu, but when it gets to configuring the boot loader, choose Lilo instead.
It seems some (but not all) systems have a problem with GRUB, but Lilo works just fine.
It should also automatically pick up your XP installation and give you a choice of which system to boot into at start-up.
The difficult part (for me) is I can't remember if you can do this from the standard CD. I've a feeling you can only get this option from the "alternative CD" version, which gives far more manual control over the installation process.