To actually answer your question, once the machine is assembled and you boot the first time, go into the BIOS. There are several things you'll want/need to set. Time of day, etc. among them. One of these is primary boot device. You can set it to whatever you want, but, since there's no OS installed and you don't have a floppy, set it to your CD ROM drive. Insert the Windows CD, save changes and exit BIOS. You will boot to the CD and windows installation will begin. Once it's done, power down, re-boot, enter BIOS and set your SATA drive (which you just installed Windows on) as your primary boot device.
You can set any device as primary, even a flash card. It's up to you.