I am going to break my own advice here because you are using the wrong tool for
the job. Startup manager does not do what you want. There are several ways to go
about this. You could install a utility to edit grub through the GUI. There are
several, but the easiest way is to use a text editor and to edit it.

open a terminal and type sudo nautilus and press Enter. Type your password.
Navigate to /boot/grub and right click on menu.lst. Choose Open with Text
Editor. Open it.

Timeout is the number of sections that you want.

You dis not ask for this but you can change it to boot any listed operating
system by default.
Changing the number after Default changes which OS boots automatically. It is
zero which is the first listed OS. If you change it to the number for Windows
XP, then it will be your default OS. Or you could not change this number but
instead cut and paste the lines for Windows XP and move it ahead of the Linux
distros, thus making it zero. Grub uses ordinals so zero is the first and 1 is
the second, etc.

Thanks for your input, but I was trying to discover why the OS I want to
start is not listed in the menu.lst

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.