I would suggest there might be a problem with the CD-ROM... Generally the way to do dual boot with windows and linux is to install windows first, doing windows second can be problematic but is fixable. If your CentOS 4 OS in burnable I would advise installing the Windows OS leaving space for CentOS and installing that afterward. If you are having a problem installing Windows it might be related to the same problem as CentOS 5, but I'd advise a new download and burn off the CentOS install disc however.
As for the Check Sum, I think the easiest I can explain it, is it is a number generated by a formula using the data in a file, when you download the file, the checksum is then re-run against the file and the newly generated number is compared to the previously generated number, if they are different that's a bad checksum, if the numbers are the same then that is a good checksum. This is done to check for inconsistencies or corruptions caused to the data during any part of the download or burning process.