I don't know what you did to your grub that make Ubuntu overrides your
changes. However if you want to make Windows your default boot OS, there
is a commented directive that should be in the top of your menu.lst
file. The directive name is "default" and it is defaulted to 0 (0 is the
order of your first choice of OSs in the menu) uncomment that and set it
to whatever Windows's order is in your menu.lst file.

I only keep the latest Ubuntu kernel so I have
0. Ubuntu
1. Ubuntu (Recovery Mode)
2. Ubuntu (memtest)
3. line divider (this is also counted)
4. Windows
so I put default 4 at the top of my menu.lst file. I have been using
this for over a year and I had no problem upgrading packages at all.
I also like to use the colors directive
# Pretty colours
color cyan/blue white/blue