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One likely problem is that your BIOS is not currently set to boot from CD.
Watch the early boot up screen. There is likely an option to configure BIOS Settings by hitting a specific key early during the start up sequence (probably the 'delete' key).
While in the BIOS settings, look for boot sequence and set the CD (or DVD or optical disk) so that it is searched before the hard drive. Now when the system boots it should see the live CD and boot from it.
did you convert your download of linux to ISO? if not you need to get a ISO converter and convert it and it should boot up. and if you did that I would sujest that you press F2 when you turn on your computer and make it so that your CD drive boots up first.
is it a dell laptop or pc? i know with the newer mobo's if you hit f8 during the boot you'll get a screen with a boot choice of floppy, rom, or hd totally bypassing the bios boot order. atleast it's that way with asus boards. hope this helps.