It has to do with the boot order set in the bios, you need to make sure the HD with windows installed on it is the first bootable drive the computer sees.
you can set this by going into the bios and selecting the boot order menu.
set it to No 1.
It could be your computer is setup to boot off different devices, remove any floppy disks, usb thumb drives, external hard drives and cds from the drive and see if this helps, if it does then you may have to change the boot order in the bios screen. I have had a similar issue with an external usb hard drive, during a cold boot the computer would boot fine but during a warm boot the external hard disk was already spun up so the system would recognise it and try to boot from it.