I) Most lickely you didn't burn the image properly. go into the CDRom, and see what file are located in it. If you have a bunch of directories, and file then you should be fine, but if you have a *.iso file then you didn't burn properly.
If you didn't properly then perform the following steps:
What software did you use to burn the image, and what are the steps that you did to burn it.
If you are using Nero Burning ROM for Windows, this is what you need to do to burn the image:
1) File > Burn Image
2) Chose the .iso image
3) Click on Burn, or OK --> I forgot what the button was, but it should be easy to follow here.
II) IF you burned it properly, then maybe the *.iso you downloaded is corrupted or not completly downloaded. Do an MD5 Checksum on the file, and if it shows that the file is not completly downloaded, then you will beed to download the files again, and burn the images again.