If you wanted XP to be the default choice to boot, independent of where it is in the list, you could also use 'savedefault'. I think GRUB's configuration man-page (or GRUB man-page) explains it in more depth; at least their site docs should. Basically here's how it goes:
1) set the default= option to point to 'saved':
now the default choice to pick, if nothing else is selected by the user, is the one that has last been saved as default.
2) set the XP section save itself as default: add this line into the XP section
3) don't add 'savedefault' to the other sections (or if you do, the default one will be the one of those that was last booted -- the one that last 'savedefault'ed)
So here would be the configuration, base copied from decrepit's post, after the changes:
title Fedora Core 4
kernel /vmlinuz-2.6.17-1.2142_FC4 ro root=LABEL=/ rhgb quiet
kernel /boot/vmlinuz-2.6.15-26-386 root=/dev/hda1 nomce quiet vga=791
Notice the red parts. Because XP is the only section that has 'savedefault', it will always be saved as the default choice that default=saved will boot. Therefore XP is the default boot choice no matter where it is in the menu; it can be first, last or somewhere in between, and you can move it around and it still stays default (you just need to boot it once, after which 'savedefault' is remembered).
Like I said, you can add 'savedefault' to another section also, and then if default=saved, GRUB will boot the section of those that have 'savedefault' that was last booted.