Grub needs to be installed on primary boot partition. I fear in this case Grub is not installed on the primary partition which is active.
Edited on 4th feb: Procedure to install GRUB
I am assuming you installed Ubuntu FROM USB, but to a hard disk, not on USB.
Pre-requisites: Standard pre-caution -Have windows backed up in case anything goes wrong
Then, Boot from a live CD/USB and open terminal.
The issue the command
sudo fdisk -l
This will list the partitions on every hard disk. On the boot colomn the partition with '*' marked is your default boot partition. If Linux partitions are detected, you will see the 'id' column with number 83 (Linux)and/or 82 (swap). Normal windows partitions will have ID 7 (HPFS/NTFS). There are more possible options, but these are major.
GRUB (now GRUB2) needs to installed on the default partition
Mount that partition to /mnt
sudo mount /dev/sda1 /mnt (assuming your disk is sda primary boot partition is named as sda1, replace with your actual partition name)
Issue command to install grub2 on that partition.
sudo grub-install --root-directory=/mnt/ /dev/sda
This should install grub on correct location (Will look the boot partition and install it there).
Reboot, now you should see GRUB menu and should be able to dual boot to Ubuntu and Windows.