hmm weird, the fact its shutting the system down.
When it loads from the CD does your bios by any chance say to press the enter key or something to start it off?
Also, try changing inside the bios to boot a floppy first, then a cd, then your hard drive (i dont know how this could help, but you never know)
If it says to press enter, you might have to do this again each time it restarts.
One thing that is confusing me though, is that affter it has looked for drivers and things and putting them to RAM to start the installation (the blue screen bit), it then should start the process, and in my knowledge, doesn't restart after that bit, since it would reset the RAM, losing all the information it just put in, though it might restart to go to the main GUI setup with graphics and things...
Yeah, do what Per says, and try to clean the disc, as it could be having loading difficulty with a particular file its trying to load on.
I hope this helps