Some of Grub's boot info is still living in your Master Boot Record (MBR), although if you have your BIOS set to boot from the CD-ROM before the hard drive this shouldn't be an issue.
1. Go into your BIOS setup and make sure the boot device order has the CD-ROM listed before the hard drive.
2. If necessary, you can restore the MBR by booting into rescue mode from the Windows installation CD and running the following command:
FIXMBR