I know this may sound patronising but you have gone into the BIOS, set
the CDROM drive to be the first boot device, rebooted and got the
"press any key to boot from the CD" and then hit enter and heard the CD
drive wind up haven't you?

If all the above is correct then you may have a faulty CD, do you have
access to another CD of the same type? If so then try booting from that
and use the CD key that came with your CD (the keys are not hard coded
to the CDs)