What sort of hard drive is it, SATA or IDE, do you have it properly connected with both the power and data connetors.
Is it detected in bios?
Is it the same type as the original. Are you installing Vista from a Dell recovery disk or a Microsoft Vista disk?
When you first boot the computer it loads the bios that checks your hdd, dvd ram etc. this information is displayed at boot time.
I gather that not knowing how to get into bios, you are not booting off the cd/dvd and the pc is trying to boot from the hard drive.
You need to enter bios to set the dc/dvd drive as first boot device in boot order screen in order to run the setup from the optical disk.
I don't know which key you need for Dell, but the usual ones are Del & F2. If you watch carefully at boot it's usually displayed at startup "Press ?key to enter bios".
Save any changes in bios settings, after restart it should boot off the cd/dvd allowing you to run setup.