If you're using the latest Ubuntu, it should just "magically" happen, and you should be prompted with a menu when you boot that will allow you to select form Ubuntu, some diagnostic tools like memtest, and Windows. One thing I can think of that might be a stumbling block for you is that Ubuntu will want to make at least two new partitions (one for Linux itself, and one for the swap space), and XP likely takes only one partition, so you're partition table might end up being a little strange. What is your current partition layout like? One thing you can do is boot the Ubuntu disk and choose to "try out Ubuntu' instead of installing it. When it boots, open a command console and run the command:
and cut-and-paste the output here. Feel free to remove the "Disk identifier:" data if you don't want people knowing your hard disk serial numbers. Once you get Ubuntu installed, if Windows is not in the Grub menu, the command:
should automatically find your Windows partition and re-add it to the Grub boot menu.
Good luck.