Did you get the 3.8.1 .iso? How did you burn the .iso to the CD? Check the CD in Windows, see if you have just one file or a whole directory structure.
If there is only the .iso file on the CD then it was burned incorrectly. What ever program you used make sure you specify "Burn ISO Image" otherwise it will not be bootable.
Also if you did change the bios to boot from CD and it bypasses to windows, it could be the above problem or maybe an MD5SUM error. Here is some information on verifying the MD5SUM.
If the Directory structure is on the CD and it is set to boot the CD in your Bios. Try a cold boot. I had the same problem with my Knoppix CD. If I put the CD in and did a warm boot it would just go back into Windows. If I did a shutdown and then re-started it booted fine.