Where is GRUB located?
There are different stages of the grub. Stage 1 is located in the master boot record thats on the boot sector of your hard drive. The boot sector is physically located on the first sector of your hard drive. Stage 2 is usually at /boot/grub in the root partition and can physically located at just about any part of the Ubuntu partition.
Will deleting the Ubuntu partition get rid of grub?
kinda
It will get rid of the useful part of the grub loader - the list of options to choose from. Grub will still be on the master boot record and you will most likely see: "Grub error 22" and you will not be able to boot into windows.
What does fixmbr do?
It fixes the master boot record. It will replace the data that the grub has written to the mbr with the windows boot loader.
Should I use fixmbr before or after I delete the Ubuntu partition?
I'd do it after.
Will it work?
Sure. Although, you may not even have to run the command. First, try the "Startup Repair" option from the Windows DVD. If that doesn't work, then go into the command prompt and type in
cd\ and press enter to get to the root of c. At the c prompt type in
bootrec.exe /fixmbr and press enter.