Not real sure if it will pick it up but at the very top
of the file /etc/default/grub is says:
# If you change this file, run 'update-grub' afterwards to update
# /boot/grub/grub.cfg.
# For full documentation of the options in this file, see:
# info -f grub -n 'Simple configuration'

You can try that to see if it generates a new list for boot.

You can search for "Boot Repair Disk" in Google or you favorite
search system, this will point to an ISO you can burn on another
CD and boot from that and redo your boot too. If you do that
there may not be any choice upon boot since you have formated
the windows partition it won't see another OS to boot up.

Open a terminal window and run the following command:

sudo update-grub

This will scan through OS's it can find and update accordingly, then
you'll find it will forget it had WinXP :-)

Barry's method should fix the problem.