There are usually three things the first time user does not do.
They do not check the download before burning the image for the correct md5sum. If you did not check it, your download may not be complete, or it could be corrupt.
Next thing, was it burned as an image file? This is a common error.
Last, have you set the CDrom as the first boot source?
For the first two items, look here -->
http://www.linuxquestions.org/linux/answers/LQ_ISO
You will see instructions on checking the md5sum, and where to get the windoze program to verify the image. You will also see instructions on what software to use, and the correct method on burning.
To set your drive as the first drive to look for a boot image, this is hardware specific. Most BIOS's have hot keys you press after you first power on. That gets you to the setup screen. In there you will find an option to set boot source, and control the order. If you need more help, check your hardware documentation first, the manufactures web site second, and if all else fails, post back the make and model information of your system.