When you say boot up screen, do you mean the windows one? I guess you do
Hmm... I wonder if it is set up right
Restart the machine and press del usually to bring up Bios. In the first one you come to i think, press enter. In there will be a list of boot devices. What could be happening is the hard drive isn't set as a boot device. In this case, change the 1st boot device to the cd rom (make sure no cd is in unless you want to boot from it) and set the 2nd boot device to the hard drive (ide-0/1) and the 3rd boot device (if it has one) to possibly the floppy drive.
This will then set it to work from the hard drive too. Press Escape until you get to the main menu of the bios, and press enter on Save And Exit to save the changes, and then Y and enter.
I'm wondering if putting the Windows Disc in is making it carry on booting from where Windows is installed. ...I might be wrong though as it would usually start Setup. Just try anyway.
but make sure no disc is in to test if it sees the hard drive and boots from it (including CD and Floppy drive)
This will hopefully work