It sounds like Grub is not aware of any operating systems being available for loading. This implies the Ubuntu installation either did not complete, or it didn't create its entry in the Grub menu.lst file .
If you boot using the CD, you should see menu.lst located in the /boot/grub directory of the bootable partition where you have installed Ubuntu. In directory /boot you should see files that start with "vmlinuz" and "initrd". In file menu.lst, you would see references to these files, if the grub/ubuntu installation worked correctly.
That grub does not provide you with any boot options implies you won't see any "vmlinuz*" or "initrd*" files referenced in menu.lst. Is that indeed the case?