The Utuntu installer is "suppose" to setup a Grub entry so you can select
Windows from the Grub Menu. In your case, this must not have happened.
However, this problem can be easily fixed by editing grub's
/boot/grub/menu.lst afterwards. For example:

# This entry automatically added by the Debian installer for a non-linux OS
# on /dev/sda1
title Microsoft Windows 2000 Professional
root (hd0,0)
chainloader +1

Note: Above assumes Windows is on the first first Primary partition of IDE0
or SATA1.

Normally grub gets installed to the MBR and the above Grub Menu entry lets
you startup Win2000/XP.