Somewhere on your system, typically /boot/grub, there is a file called grub.conf
You'll have a number of boot options within the file, such as
title InsertNameOfOperatingSystemHere Version X.YZ
... various options.
These are enumerated by grub as entry 0, entry 1, entry 2, etc.
Before any of the entires, there will be something like:
Change the default to match the entry that coresponds to Windows XP. (I.e. if
Windows XP is the second entry, you want default=1 (the first entry is zero))
Save your edits, and reboot.