Most important: you have GRUB version 1 or 2?

If you have grub 1 you have to edit /boot/grub/menu.lst file from Ubuntu as superuser. Most direct approach is command:
sudo nano /boot/grub/menu.lst
(nano is just name of text editor you can use what you like gedit maybe etc.)
So you find line:
default 0
It means that first menu option is default, now you have to count title lines first is 0. Windows maybe next so 1 so change default 0 into:
default 1.

If you encounter problems you may paste your menu.lst file here I will edit it for you. If you have GRUB 2 also post here.

Be careful and do not mess around too much you may end up with no boot at all.