coop2 - not being rude, but check that the cable is plugged all the way into the HDD.
I don't know anything about XP, but with the other OS you had to do initial boot from a floppy, and then put the CD in when asked. I guess XP has moved on from floppies, so like the other guys say - make sure your CDROM comes top of the list in the boot sequence (or disable boot from the HDD) and begin boot with the CD already in the drive. May have to power up, get error message and then Ctrl-Alt-Delete.
In short, the message you're getting is telling you that there's bugger all on your HDD.