Apologies in advance for the lengthy post.
I started out with one partition, c:, with XP Pro SP2. Then I created a new partition, onto which I installed Vista Ultimate. This installed the bootloader onto the active partition (c:). I also wanted to install linux, so I created an extended partition with two logical partitions on it, one for root and one for the swap file, onto which I installed Ubuntu 6.10. This installed Grub into the MBR. So I had Grub loading either Ubuntu or the Windows Vista bootloader, which in turn loaded XP or Vista.
I was not happy with this arrangement, so I deleted the partitions onto which Ubuntu and Vista had been installed, created a small partition at the beginning of the drive (before the XP partition), and followed the instructions at http://ubuntuforums.org/showthread.php?t=260772, which worked beautifully.