Grub is usually written to the mbr of the first drive, however it can be
written elsewhere. You can re-write grub using the Live CD following these
instructions:
https://help.ubuntu.com/community/RecoveringUbuntuAfterInstallingWindows

You want the section called For Grub Legacy

Once that you get familiar with Jaunty which was not a good release IMO,
then consider installing the latest release 10.04. You need to either start
fresh with the 10.04 CD (a free download) or upgrade to 9.10 first then
upgrade from 9.10 to 10.04. The first is easier because fewer things can go
wrong.