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Debian comes in 3 flavors woody, sarge, and i forget the 3rd. the woody distro is the current stable distro, sarge is the current testing distro and the 3rd is the unstable dev. vs.
you only need the 1st CD, and a good copy of a sources.list to apt-get everything else you want/need for your system. to get the base install up and running you can just use the default sources.list (it will/should only have the official repositories from debian.org for your flavor) and you can get a majority of what you need right there.
you can get your server applications, iptables, GUI, x-server, etc... then once you are up and running you can add more locations to your sources.list.
as for setting up the rest of the system that is up to you, debian only has 2 ways to install. 1. CD, 2. FTP (this includes network install), both are effective, i like the CD way better as for me it is just faster then waiting on everything to be pulled down via my internet connection.
Either that or you could get the netinstall CD here: http://www.debian.org/devel/debian-installer/ which is about 120 MB. This will install Debian sarge a.k.a. testing, which is stable enough as it was supposed to be released a couple of months ago.
Just burn the iso and boot off it then Debian will install the base system and get the rest of the packages via ftp. Simple, isn't it?
The CD you're talking about would install Debian stable (Woody), but that is a bit outdated.
I'd recommend going with sarge but be aware that if you have a slow connection (like a dial-up one) it'll give you some headaches while you're waiting for everything to download.