Do not worry. This could happen either because the BIOS is trying to boot from a different SATA port where there is no HDD, or because the HDD you have is empty, so the machine cannot boot from it.
In your BIOS, check and set a few things. You already know your SATA HDD is being detected properly. Look for the place where you specify certain things about the SATA drive(s). In one line the port(s) will already be set to Enabled. Near there, look for a line to set the SATA Port Mode.The right setting depends on which OS you are installing. Assuming it is Win 7 or Vista, set the Port Mode to AHCI, the best option for a single drive. (For now I'm assuming you are not setting up a RAID array that you will boot from.) Either of those OS's can handle an AHCI device. BUT if you are installing any version of Win XP, you have a bit of choice because it cannot deal with AHCI devices without adding a driver. The "proper" way to do this is to put the driver on a floppy disk and use it in your 3½" floppy diskette drive so you can install it early in the Windows Install process. But most people don't have the equipment for that or choose not to. The easy alternative is to set the Port Mode to IDE (or PATA) Emulation. In that mode the BIOS makes the actual SATA drive look like a plain older IDE device that Win XP can understand. NOTE once again, this setting is ONLY used if you are using Win XP.
Once you have that done, find the place in BIOS where you specify the Boot Priority Sequence. Set it to use your optical drive as the first choice, then the HDD you have connected to the SATA1 port. Usually in this place the only choices you are allowed are devices the BIOS has detected successfully. Unless you know you have other boot devices to add, leave only those two set up. Now SAVE and EXIT. This will try to boot your machine from those devices you just specified, so you probably should have your Windows Install disk in the optical drive. From now on, at every boot-up your BIOS will try the optical drive first. If it fails to find a bootable disk there, it will quickly jump to the next device in the list, your SATA HDD. Only if it fails to find a bootable device on the port you specified will it give you the classic error message asking you to insert a bootable disk somewhere.