first of all hi to you sledge!
see you should (first) set boot priority in CMOS settings (that can be invoked by "F1" or whatever key is mentioned at the first BIOS startup screen). In that CMOS you should set CD drive as the first bootable drive. Alternatively you can press ESC (or whatever shown on BIOS POST startup screen) to change boot device. now select the CD-ROM for boot.
next, the CD will boot up and show..
Press any key to boot from CD..
press any key (ENTER i suggest)..
The CD will boot up and show messages. The screen should look somewhat like this..
Windows XP Setup
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---------------------------------------------------------------------------------------------------
<various messages>
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don't press anything at this point (because the Setup will suggest pressing F12, etc. for Recovery, etc). just wait and watch.. it will then load drivers, etc., and show their names below.
then after some time (a minute maybe) it will show a screen asking to
press ENTER for complete install or "R" for system recovery.
Press ENTER here and then its easy. Just make the partitions (with NTFS, NOT FAT32, i suggest) and install.
If these steps do not work in this way then either there is some defect in your setup CD or some problem with your hardware (compatibility issues?!?) or you yourself might be doing some mistakes.
(trust me the first time i installed xp i did foolish mistakes on the setup screen by pressing this and that button and ended up with a failed setup! the next thing i did was cursing Microsoft and Bill Gates.. hehehe

but it wasn't their fault but mine. so be careful!)
try this and hope your problem is solved..
best of luck!
bye.