/boot/grub/menu.lst is a system file, which means that it cannot be edited by a regular user - you can view it fine but it will refuse to save any changes. That is why you need to open it with the sudo command, which give you administrator powers. As for gedit, that is just and editor so "sudo gedit /boot/grub/menu.list" means "open the menu.lst in gedit with administrator powers" - then changes will be saved. All commands entered in the terminal (Applications > Accesories if you use Gnome).
Gedit, however, is a Gnome application. If you use KDE rather than Gnome, you'll need to use a different editor (probably kedit or kate).
Now the file has an entry called "default". If you look further down the file, you'll see one or more entries for your Linux distro as well as one for XP. Each of those appears in GRUB (although, strictly speaking, it is only the "title" of each item that is shown, the rest is used under the covers by the system). In order to make a different OS boot by default, you need to replace the value of default (0) with the the number of the alternative entry you want to boot by default. As grub counts from 0, the first one is 0, the second would be 1, the third one 2, etc.
Before making any changes, it is stronlgy recommended to make a back-up so that the original menu.lst can easily be restored. You can do that with:
sudo cp /boot/grub/menu.lst /boot/grub/menu.lst.bak
This copies the original menu.lst to a file called menu.lst.bak