Your boot method is to use ntldr of xp to load grub's grldr according to boot.ini, and grldr loads grub's boot program, reads menu.lst, and then loads the red flag.
The reason for your failure is that the grub boot program is missing, so menu.lst is not loaded. Grldr is not enough. You have to download grub4dos and install it according to the instructions.
If the startup part is not checked successfully, reinstall it again. Pay attention to the prompt of selecting the startup part.Another problem may be the hard disk protection card