Then your BIOS is not setup to boot from the CD first. You'll have to either change the boot order in your BIOS, or if your computer supports it, you can hit a key while the computer goes through POST to bring up a boot menu. On Dell computers, it's F12, but it's different depending on the manufacturer.
LE: I couldn't tell what type of computer you had while typing this, but now that I'm done, I can see your signature with the E-Machines model. I looked on their website for information, but I can't seem to find anything. A google search suggested F10, but that could be wrong. I'm still looking.