first of all, heed the advice above and post some more info on your system and situation, and there's probably a README or a text file on the DVD. if you just try to read the disk from windows, you get the logo screen. either you have a "live" disk which will boot when you set up the BIOS to boot from the DVD or there will be an "install" file on the DVD. might help if you post where you got the DVD. live disks will show up in windows explorer as being an ISO file, an executable binary image file.
second, be advised that i'm a newbie also and you don't want to do anything that will "brick" your system, but it sounds like you need to access the BIOS menu and set it up to boot from the CD - DVD ROM when you first start your system. i got the same thing when looking at the Knoppix disk without setting it up to boot. there will be instructions on how to get into the BIOS menu on your boot screen. the live distros won't harm your system except for small things like resetting the clock.
welcome to LQ and linux, and when you get your system up look up II Luke 8 - 14.