Piece of cake.

Create a partition for Windows and install it from the CD-ROM.

Afterwards boot a Knoppix LiveCD, and:

$sudo grub
$grub>find /boot/grub/stage1

This delivers (hdX,Y)

$grub>root (hdX,Y)
$grub>setup (hdX)
$grub>quit

Now you will be able to reboot to Ubuntu.

There:

$sudo fdisk -lu

find XP partition, for example hda3 (a -> 0, 3->2 => (hd0,2) in grub)

Then add to /boot/grub/menu.lst:

title		Microsoft Windows XP Home Edition
root		(hd0,2)
savedefault
makeactive
chainloader	+1

Done!