Gentoo is usually built by hand from scratch by the user (sort of).
Older live gentoo cd's did have an installer to get you started but they sort of defeat the purpose of gentoo. The latest dvd does not have an installer to my knowledge.
You build gentoo from a shell on an exsisting system (which can be live cd or dvd).
Goto
http://www.gentoo.org/doc/en/handbook/handbook-x86.xml and have a good read of the documentation. It will tell you how to install it step by step.
As it builds every package from source code, it can be time consuming. Expect to have a working system in a few days to a week! But it is a good system to learn linux on and fun to play with. "emerge" is great.