Generally, to make dual-boot work out of the box, one needs to install windows first and then Ubuntu. Ubuntu's bootloader -
GRUB2 then autodetects Windows and creates entry in the GRUB bootlist.
If you did the other way round, that is installed Ubuntu and then Windows, then you would need to repair the GRUB to be able to boot into both OSs.
Now coming on to the next part, since you installed the OS on different HDDs altogether, you need to set the HDD with the GRUB bootloader as the first device to boot from in the BIOS.
If you have any issues figuring out the above, you may leave a comment and i will improve the answer.