Let me get this straight....
Your GRUB boots, then when you select Windows,you are handed over to the Windows bootloader? You have the option to boot Linux, which returns you to grub? So I am assuming that sometime before now, you configured the Windows bootloader to Load linux. [Correct me if I'm wrong.]
IF this is the case, and if I understand what what you want..... then this is what you need to do.
1) start up the linux OS and log in as root.
2) open a terminal and type in "grub --install /dev/hdX" ( where X=partition number of root partition for Linux OS) [remember..Linux counts from zero (0) ]
3) type in "init 6" but do not hit the 'enter' key yet. First put in the Windows disk so you can use the recovery console when you re-boot. [ This may be un-needed. If you know how to edit the win bootloader, you may have already set up a boot option in windows to boot into recovery console]
4) re-boot into windows and reinstall the windows bootloader.
5) if using the Win installation disk, after booting up, follow the prompts to get to the 'recovery console'
This is what the commands look like in both linux and windows. Hit 'enter' key after each line
grub --install /dev/hdX
The second 'exit' may not be needed. I haven't used Windows for almost 2 years.
Anyway, what this will do is set your computer to
1] start windows bootloader FIRST
2] when you choose Linux, it will boot from the / (root) partition, enabling you to have a 0 (zero) second delay before booting.
You will need to edit the /boot/grub/grub.conf in Linux to achieve the zero second delay.
Good luck and hth
edit: use the win bootloader from the win system with the modified boot loader. This is the one you have to use to keep linux.