Also you need to press a key at the right time.
Briefly a message "Press any key to boot to CD-ROM" appears.
You may miss it if you are not looking.
You need to press a key while that message is displayed.
Is the CD-ROM the first boot device? Or at least before the hard
drive?
Then if you have followed everything else, something is wrong with
your motherboard/BIOS or possibly the CD drive.