As others have suggested you have to go into the BIOS and be sure the CD-ROM
drive is set as first in line in the boot sequence and this assumes the
computer supports booting from the CD-ROM. To access the BIOS, usually
there is a message on the first or an early boot screen that tells you to
depress a specified key to enter setup.
Once in the BIOS, navigate to the boot sequence and set the CD first in
line, save, exit and reboot.
Watch the screens, in some cases you will reach a point where you will be
told, in order to boot from the CD press any key and be given 10 seconds in
which to do so. Be sure to watch for it because if you miss it you have to
reboot and try again. This only happens under certain circumstances,
usually if there is another operating system already on the hard drive.
Also, do not use Windows 9x tools to format or create partitions, do that
from within XP setup.