Try pressing the
ESC key when the motherboard has put up its first POST screen. On EPoX boards that may call up a one-time boot menu where you can command it to boot from CD. If you want it to always look to the CD-ROM drive for bootable CD's, then go into the motherboard's BIOS and set the boot sequence that way.
Reason I ask if your CD is legit, is that we sometimes see people who have non-legit, non-bootable CDs and of course nothing will make them boot because they ain't bootable in the first place

If that's not the issue, then great
Since your CD only has SP1, your fresh Windows installation would be vulnerable to direct attack by worms. If you do not have a router to firewall your computer from getting fondled by strange computers over the Internet, then consult
this page for one possible plan of attack (basically, have a Service Pack 2 installer ready to use
before you let the computer have a network connection, so it's firewalled + patched in advance).