Personally I would connect an internal IDE CD drive just temporarily to load up Windows.
Also, I would not recommend disable booting from the hard drive, as this can cause problems once the OS is partially installed and needs to boot from the drive to continue setup.
Typically, I set my boot order to CD, A (if you have a floppy) and then HDD
I don't know about your bios, many new boards support booting from USB. Is it a new, blank hard drive? It may be detecting something on the drive regardless and attempting to boot from it.
Also, check to make sure that you can actually boot from that CD on another computer. I have come across some discs that for whatever reason won't boot properly.
But again, the best thing to do would be to connect an internal drive to load from.