The interaction, including the adsorption and embedding, of a widely applied anticancer drug, doxorubicin, with a lipid membrane was investigated. Second harmonic generation and two photon fluorescence were used as a powerful combination capable in revealing this dynamic process at the interface. The adsorption, association, deassociation and embedding of doxorubicin on the lipid membrane were clearly identified based on the consistency in the dynamic parameters revealed by the time dependent second harmonic generation and two-photon fluorescence measurements. This work also presents a new approach for in situ measurement of the adsorption density of doxorubicin on lipid membrane, benefiting from the two-photon fluorescence signal of doxorubicin being significantly altered by its chemical environment. The analysis of the location and molecular density based on the fluorescent efficiency of the chromophores makes the fluorescence measurement a "surface sensitive" technique as well. The analytical procedures used in this work are expected to aid in understanding the interaction between fluorescent molecules and lipid membranes in general.