Ooooh! Ooooh! I know how to install Windoze!
I'd better, considering I've been doing it for nearly fifteen years...
Are you getting a message after POST that says "Press Any Key To Boot From CD . . . ." ?
If you get that message, are you pressing a key to boot from the CD?
What 'boot menu' are you talking about where it shows the HDD but no CD? Are you talking about the F8 boot menu where you can boot to Safe Mode or LKG Config? That's not going to give you an option to boot from CD, as it's already started booting from the HDD.
Or are you talking about the BIOS setup? If the CD drive isnt' showing up in the BIOS setup, then there's an issue. Something is either not connected right, or the BIOS isn't configured properly.