u need to burn the cd booting contents to the cd and thats part of your linux install.
the easiest way to get around this is to invest a few dollars at the newsagency and get the latest red hat cd for linux off many magazine cds.The cd will boot straight up and install.
An alternative is to try the cd based linux called knoppix.
It should boot up and run from the cd while using a small bit of hard drive space.
make sure the cdrom is the first in your bios settings.
You may be delivered to a command line prompt if worse comes to worse and I would then reccomend looking for the mount command in linux and with a command line you would mount the cdrom and load it from there.