It's not hard, but it can change once you have done it...
See "Set Windows as Default OS when Dual Booting Ubuntu" at
http://www.howtogeek.com/howto/ubunt...ooting-ubuntu/
Have a look at your Grub Menu. ASSUMING you have no extra kernels then it should appear as 1) Linux 2) Linux Rescue 3) Mem Test and 4) Windows. Windows IN THAT CASE is 4. You set 4 to boot first. When you get an extra kernel it appears as 1) Linux (new) 2) Linux Rescue (new) 3) Mem Test 4) Linux (old) 5) Linux Rescue (old) - Possibly? 6) Mem Test and 7) Windows. It will still boot 4 first - now Linux (old).
If you will copy and paste your /boot/grub/menu.lst to this forum people will be able to tell you what to change it to specifically.
It can be easier to delete old kernels to keep Windows at 4.