When you switch the PC on, the first splash-screen you see will normally have an instruction on it like "Press "del" to enter setup", or something similar.
That's the Basic I/OSystem, which is burned into the motherboard chipset, and is responsible for getting your Windows (or other) System loaded into storage and running.
Follow the instruction (quickly, it's only there for a second or two), and you'll end up in the BIOS setup utility (which looks like an OS from the early 1980's).
Find the "boot" section, and set CD/DVD to be before HDD in the boot sequence.
If you have the BIOS set correctly, you should see a message "press any key to boot from CD/DVD".
If you're not seeing that message when you switch the PC on with the CD in the tray, then either:-
a) the BIOS isn't set to boot CD first
b) the CD isn't correctly burned
c) there's a problem with your CD-ROM drive
Check a) by booting with a CD/DVD you know to be bootable (an old Windows CD e.g)
Check b) by booting the burned CD on another fully-functional PC
Check c) as for a) and/or by burning to DVD instead of CD (or using another bootable DVD) (they use different lasers, so it's unlikely(but not impossible) that both will fail together)