GRUB is a Linux boot loader. Generally you should not worry much about the boot loader but sometimes you want to tweak your setup for dual booting (switch between different OSes)
How to install GRUB if it does not work already.
GRUB should write into the Master Boot Record (MBR) of the first hard disk. What Linux calls /dev/sda is called hd0 in GRUB. What Linux calls /dev/sda1 is called hd0,0 and /dev/sda hd0,1 - so "0" is always the first entry.
to (re)install GRUB do this if you are in rescue mode:
grub-install
Dual boot with Windows.
If you want to be able to boot your Windows still you might want to add this to grub.conf (in this example Windows is using the second hard disk in your computer):
title Windows root (hd1) savedefault makeactive chainloader +1