Hello,
Congratulations on taking the first step to get LINUX running on your machine! well, as Sycamorex suggested just insert the installation CD and if your computer is configured to boot off the CD-ROM as the first device you should be fine if not you could change that going to your setup or for example on my pc by pressing F12 brings up a boot many where I could select the device I would like to boot from. You could look at the screen while your computer boots and see which 'F' it is used to bring up the boot menu.
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