That requires partitioning you hard drive so there is an empty slot for ubuntu. You would also have to partition a swap in there as well. Then you install to the big partition you made, and grub should automatically install itself and then you have a boot loader that NORMALLY has Linux and XP. Unless you like me with multiple harddiscs in the computer with different operating systems installed on each, if i recall correctly Grub doesn't pick up operating systems on different harddiscs, so you have to add them youself which is a PITA.
Btw, if your gonna do it, backup XP. I should've done that when I installed, my XP got frizzled.