For this particular case, (1) the Ubuntu LiveCD install does say GRUB
will be installed on hd(0) - but you should be forgiven for not knowing
that means your Windows hard drive. (2) there is a special tool for
installing to a flash drive under "system->administration->usb startup
disk creator" and when using that tool, grub should definitely _not_ be
installed on your hard drive.

The whole process of installing GRUB is seriously broken when there is
_any_ choice of device or partition. The root partition/device is
identified with this cryptic hd([0-9]) or hd([0-9],[0-9]) notation that
has zero correlation with the /dev/[hs]d[a-i] notation or the Windows
[A-Z]: notation - and changes from boot to boot and depends on how the
disks are labeled or relabeled by the installation process. On top of
that, the root is really identified by UUID, which yet a third notation.
The most frustrating part is that when it fails it does it right near
the end of the installation and it's a fatal error, so it doesn't do the
final cleanup that follows the grub installation - so you can't just run
grub-install until you get it right. For the most recent installation I
did, grub wasn't able to find the boot disk until I physically unplugged
all the RAID disks from the system - it loses it's way trying to parse
raid5 partitions. It's really icky and not a good initial impression for
Ubuntu (Why does Firefox suggest Unburnt, Subunit, Bunting, Bunt and
Urbanite as proper spelling? that's another paper-cut) at all, but I
fear it's way too hard to fix all this as a little paper-cut.

For Ubuntu, why does Firefox suggest Unburnt, Subunit, Bunting, Bunt and
Urbanite as proper spelling? That's another paper-cut!

-- 
Poor choice of device for installing GRUB
https://bugs.launchpad.net/bugs/389194
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