1) Check the BIOS. Make sure that it is set to boot from the CD-Rom first, before the Hard Drive.
2) Did you burn the ISO properly? Does the disk work in another computer? Quite often newbies will just copy the ISO to a CD, rather than "burning the iso" properly. If you have any doubt look at https://help.ubuntu.com/community/BurningIsoHowto
3) SOME distros have the ability to partition/format automatically, some do NOT. Which version of Linux are you trying?