Does it try to boot from the CD-Rom ? Do you see any flashing light coming from the CD-Rom drive when the bios is starting ? To enter Windows XP setup, it should be written something like:
Booting from CD-ROM:
Press any key to enter setup...
for about 3seconds. Then if you press a key you'll enter the setup.
Do you get any error message ?
Do you have an original Windows CD ? Some copied CDs might not have a boot sector on them..