Actually GRUB is installed in the MBR for the disk. I think it gets some of its config from the linux partition too. Just removing the linux partition will not remove GRUB, but it might failsafe so its unnoticeable.
Does FDISK/MBR still exist in WinXP? If so, that should remove GRUB. Otherwise a repair install of WinXP will definitely remove it (as Rob suggested)
Another suggestion is to boot linux and edit /boot/grub/menu.lst and make windows the only bootable option with a timeout of 1 second (maybe even 0), and rerun grub-install, before you remove linux. Then when your system reboots you won't notice GRUB (much).