I don't know why this didn't occur to me to ask, but do you have your BIOS set to boot from the CDROM? If not, it might be trying to boot from the hard disk.
To get to BIOS, there should be a momentary (a couple of seconds at least) display of what F-key to press to go to the setup menu. On my acer, it's F2 and if I just want to make a one-time choice, it's F12, but some computer BIOS's use the delete key or some other key to get to the setup menu.
Now, if this is the problem, that you can't boot to a CDROM, once you see the setup menu, you can probably use the arrow keys to move horizontally to the boot menu item, then press enter. Then use the own arrow key to highlight your CDROM drive, then use whatever key is mentioned on that screen to move it higher in the boot sequence so that it's at the top.
If you plan to dual boot with Vista, you might do better than to use GRUB for your boot menu. Some have reported that using any bootloader than Vista's own can cause Windows Update to not work or at least not install some updates.
The work-around is to use something like this one:
and it will allow you to restore the Vista bootloader so you can run updates, then put its own back if/when you want to dual boot again (probably after you have installed your updates).
There are other approaches, but this one was easy for me to use when I used a dual-boot setup on my laptop.