In GRUB2, which comes with Ubuntu 10.04, you could also edit the GRUB configuration text files directly, but I'd stick with a GUI configuration program because there is less room for error.
I'd install Startup Manager (startup-manager in the 'universe' ubuntu package repository) and use it to configure GRUB. There is no way to make the screen only appear on a keypress, but perhaps you could set the timeout to 0 so the screen doesn't show. (Only do this if you leave Ubuntu as the default boot OS or you'll be stuck in Windows forever, unless you edit the text file on your Ubuntu partition if your Ubuntu partition is readable by Windows, say if you have ext4 support installed separately.) Setting the timeout to 1 could also work as then it would be possible to stop it by hitting up or down quickly during the 1-second timeout but it wouldn't take too long in your boot sequence.
If you really wanted to have the keypress trigger it you could look into the NTLDR (bootloader for windows NT based OSes) settings (which I'm not very familiar with).