how do you have your dvd drive connected?
all new drives are by a sata cable. make sure you have this plugged in. perhaps try a different slot (try one of the low numbered sata spots)
all new drives also require a sata power cable from the psu. make sure you have this pluged in.
double check your connections and if failure try a different cable or plug to doublecheck.
the screen should look something like this (except of course boot device 1 would be cdrom, boot device 2 would be hdd)