I followed the mainstream instructions for installing Ubuntu 16.10 alongside windows 10. After installing Ubuntu I restarted my computer to get the GRUB menu to choose which OS to boot. Everything is fine. Booted Ubuntu 16.10 and then I wanted to test Windows as well, so I shut the pc down and turned on again to find the same menu but this time I chose Windows. When I turned it on again, it just ignored grub and went straight to booting Windows.
EDIT: Windows 10 fast start and hibernation are disabled, Secure Boot is disabled; my notebook is a Sony Vaio SVE151J11X
EDIT2: through admin prompt on windows i just ran:
bcdedit /set {bootmgr} path \EFI\ubuntu\shimx64.efi
now everything is fine. Thanks