Make sure the CD drive is set as the first boot option in the bios. Also, if this is an upgrade CD it may not work, it will need to be the full version. The install should not stop at a CD prompt. The install will prompt you along the way as to what you need to do.
you computer is probably set to a wrong boot sequence, you need to access BIOS and set the computer to first check the CD-rom before it tries to boot from the hard drive. (accessing the bios varies from machine to machine, so try reading what it tells you on screen during POST)
after you've set the boot sequence right, and if your XP cd-rom is a correct one, when you boot up the computer should detect it and ask if you wish to load from the CD, select yes, at that point the setup for winxp will load, so just follow on screen instructions to install it.