Right at the very end of the installation Alien the Grub setup will detect any other OS`s and will have them listed in a text style menu(grub) at boot up.
Ubuntu will be top of the list & will start automatically but you will have a set amount of time to choose XP instead if you prefer.Of course you can also alter your menu.lst to make XP start automatically, if you so prefer......tch

You will still have your bios screen and the grub one will follow directly afterwards.
The whole concept of different window managers etc can be completely alien at first but i would just concentrate on plain ole k/Ubuntu at first and forget about the bells & whilstles until you get a feel for the basics.
EDIT:Of course CompizF itself comes by default and will be up & running as soon as you install your drivers.Unless you have some older ATI one that plays nice with the default drivers & CF.