It is easy to add it using the editor. Menu.lst is just a text file. All you do
is to type the lines that you need and then save the file.

For Windows my entry looks like this:

title Windows XP Media Center Edition
root (hd1,1)
savedefault
map (hd0) (hd1)
map (hd1) (hd0)
chainloader +1

A more typical one looks like this:

title Windows XP Media Center Edition at sda2
rootnoverify (hd1,1)
chainloader +1

title is anything that you want. It could say Windows or what ever.
root is the location of Windows partition in ordinals. In my case it is the
second drive, second partition indicated with (hd1,1). If yours is on the first
drive and first partition then you would change it to (hd0,0). For second
partition of first drive it would read (hd0,1), etc.

You can't hurt the bootloader if it does not work. Other entries will be
unaffected. However, if it does not load Windows then you can press Esc and get
back to a text mode grub and load Ubuntu and try to make changes to menu.lst
until it does boot. There are only a few variables to change. Ordinals are one
less than the actual cardinal number since they count from zero.

I would try the simpler one first. You have nothing to lose as you can always
make a backup first and deleting the added text is as easy as entering it.