Incorrect. F8 is to get to the boot options menu of an installed XP system.
Boot press F8 to enter BIOS setup
The OP can obviously enter BIOS setup as he has stated "changed boot order."
Try poking the F12 key during boot. Some BIOS versions support a boot-choice from pressing F12 at startup.
Some systems, especially older computers, could not boot from CD. Hopefully yours is Boot-CD capable. There may also be IDE port capability issues in BIOS preventing booting from CD.
Give your make & model and some checking will be done to examine possibilities.