Grub is a bootloader similar in functionality to the windows bootloader if you dual booted say windows 7 and Vista or XP. It is also the default boot manager for most popular linux distros.
I hate to break it like this, but you really haven't offered much other then "it doesn't work", so you should probably give this a once over.
With that in mind, I'm more interested in how many HDs you actually have on this machine, what sort of RAID controller are you using and what happened during the installation and were you trying to install using a tool called Wubi?
I guess it should go without asking if you downloaded what's in general release or the beta of lucid lynx?
I'd also be curious if you can see if any partitioning occurred for the installation. You should see some pretty unique partition in disk management if that occurred.