Multiple things could be going wrong, you'll need to at least one of them to get it working. I'll put them in 'general' order of what it could be, but as you said you've 'never used Linux before', you could have easily missed a step along the way, throwing the order of these tips out the window.
o Burned CD wrong
In new(er) versions of Nero for Windows, you want to 'Burn an Image' (-not- a data CD, -not- a music CD, you need to burn a 'Disc Image or Saved Project' under 'Nero Express', or 'File->Burn Image' under older versions. It is important to burn it correctly or you'll never get in to Linux-land (unless you buy CDs, get a friends... you get the idea
o Boot Order in BIOS
You probably need to set this. You mentioned nothing about it in your post, I'll assume you know (almost) nothing about your BIOS. First thing when you turn on your computer, you usually hear the 'beep' and some stuff displays on your screen. Look closely, you should see an option to hit a key to enter Setup/BIOS/Boot Order/Something. Usually you hit <F12> or <Del> or <F1> or <Something>, just look for it, strike it early, and strike it alot! Hold it down if you have to, now you should see a menu system that you might have never seen before. I'm not the best person to explain a BIOS to a complete newbie, but look around carefully, and get a feel for it. Its generally not -that- dangerous, but you shouldnt tinker with anything right now (remember, your learning Linux at the moment, stay focused!
). Look for something like "Boot Order" or similiar. Generally your average PC can boot from the following devices:
o Hard Drive
o Network Card
Some boot from other stuff now, like USB or SCSI/SATA hard drives, but thats besides the point. The point is, the 'order' of this list is important - namely, your CDROM drive MUST BE above your Hard Drive!
Again, very important. Its probably not by default, but it could be. Check it to make sure. Now you want to exit and SAVE CHANGES, but be careful. I hope you didnt make any changes besides that. If you think you screwed up, exit WITHOUT SAVING, and your computer should reboot. If it doesnt, CTRL-ALT-DELETE. Now assuming that you switched the order, your Linux disc should be in the CDROM drive and you should be able to boot it.
This turned out longer than I thought it would - check those 2 things (correctly burned, BIOS boot order), that should fix 90% of noobie problems. If that didnt work, post a new question indicating you tried both of those and you still cant boot. Take a look at the Nero manual/website, make sure you're burning your CDs as Images, not Data CD's.