I just installed it minutes ago actually. Here is the article I mainly used:
http://www.knoppix.net/forum/viewtop...highlight=grub

So to get the menu you need to have a file called menu.lst (not menu.1st - as in with a "one"st. It should be a "l" as in llama). You put the menu.lst in /boot/grub/ . Then run grub. I have linux on a seperate hard disk than windows. Here is my menu.lst. Hope it helps.

#menu.lst
#By default boot WindowsXP
default 1
timeout 3
fallback 0
title GNU/Linux
root(hd0,0)
kernel (hd0,0)/vmlinuz root=/dev/hdd1 vga=normal lang=us
initrd (hd0,0)/boot/initrd.gz
title WindowsXP
rootnoverify (hd1,0)
makeactive
map (hd0) (hd1)
map (hd1) (hd0)
chainloader +1