It sounds like you installed the Linux before the Windows.
Always install the Windows first. Then, when you install Linux it should recognize the Windows, create the necessary partitions (or you can partition manually if you wish), install grub in the MBR and amend the menu.lst file so that you can boot directly into Linux or into Windows via a chainloader.
Windows isn't so accomodating. It never recognizes any other OSs already installed (surprise, surprise!) and snaffles the entire MBR for itself.
I could give you more specific details if you let me know the Linux distro and HDD setup you're using.