How to restore Windows XP menu entry in GRUB?
Solution 1:
This site should give you everything you need.
Btw, if you are on Ubuntu 10.04 or 10.10 you won't see a /boot/grub/menu.lst, because that's not what grub uses anymore.
Solution 2:
For Lubuntu 10.10, you need to install os-prober with
sudo apt-get install os-prober
and then update grub again with
sudo update-grub