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I would recommend the new Sarge netinstall and reading the documentation . Bear in mind that Debian is really a "build it yourself" distro and the base install above will only give the basic core system and thereafter you must decide what you want. The big advantage of this is that your system is not clutered up with stuff you don't need or want and is generally very quick in all aspects. It is important to read up on apt because it is a very important part of Debian.
Before you go ahead with an install make sure you have as much info as possible on your hardware before starting as there is nothing more frustrating than having to stop the install becuase you need to get the info you need. (just in case the installer misses it)
I am sure you will be impressed with the best distro around.
Then install whatever "suite" of packages you need (like "suite" for Desktop Environment, C Programming, etc.)
If you still want to install from CD (no fast internet or just want to install from CD), get the 1st CD of whichever distribution you want ('stable' woody, 'testing' sarge or 'unstable' sid), I recommend debian testing (sarge). Then boot the CD and follow instructions.
All this may take some time though. So prepare like one day of your weekend to solve problems and all. (quoted from above, Debian is really a build-it-yourself stuff)
Just put CD 1 in your drive and reboot. Installation will start. I'd go for the install of sarge cause it's newer. Unless you want something really reliable but old, for example if you want to make a server then I'd go for woody but for normal home use start with sarge and maybe upgrade to SID.
You have to setup apt to use the cdrom. I'm not completely sure but IIRC you have to put a CD in, then run the program "apt-setup" choose CDrom and make sure it detects the CDrom. Do that with all the CDs. When you're finished you can install the packages you want with "apt-get install packagename"
Okay, the debian CD will first install the base system, then it'll reboot first. After that, follow all the instructions, during the installation of packages, you'll be ask for the apt configuration, use CDROM. It will scan your first CD, then it'll ask whether you have any other CD, put the next CD in, and so on...
You can also run apt-setup, or manually edit the file /etc/apt/sources.list to add your CDROM manually. Read apt howto at: