sounds like your CD is not bootable. That means you burned a copy and did not choose to make it a bootable copy.
Here's how to install it. Download a Windows 98Se bootdisk from Bootdisk.com, if you don't have one already:
http://www.mirrors.org/archived_software/www.bootdisk.com/winfiles1/boot98se.exe
Have a floppy ready for it to write the boot files to. Run boot98se.exe and it will create a boot floppy. Boot up with the floppy (make sure your bios is set to boot from floppy).
Choose CDROM support when you boot with it.
It will tell you which drive is the CDROM drive during the floppy bootup (it will create a Ramdrive, so where your CDROm drive would normally be Drive D:, it might be Drive E: with the bootdisk floppy. Just watch the messages.
Once it's done booting, put your XP CD in.
At the A: prompt, type " E: " (assuming that's the drive letter for your cd after booting with the floppy)
Now, type "cd i386" and hit enter
Now, type "winnt"
Of course, the quotation marks above are only for clarification. Do NOT type in the quotation marks!
That's the Dos-based setup command for XP installs. XP will start to install. Remove the floppy.