Booting from CD
To do this on an x86 computer (if you don't know what that means but you're not using a mac, then you probably have an x86), you probably need to alter the boot order in the BIOS. Watch the messages flashing by when you turn on the computer, and you will see one referring one to "setup" or something, asking you to press F2 or Del. If you cant find it, just press these two buttons while the computer boots up.
Different computers give different menus at this point, but you need to find something like "Advanced BIOS settings", and make your CD or DVD drive the first item on the list. Then, if you turn your computer on with the CD or DVD in, it will attempt to boot from that first.