if it's not booting from the CD then I would suggest the actual disk is the problem. If you have the option to select devices rather than just change the order then change all the boot options to CD, and change them back to HDD later on. Also, I would seriously suggest slipstreaming the drivers for your notebook onto the XP disk before you start installing it all. You've no Floppy on the laptop, and you'll need to get the SATA drivers etc on there.
What do you mean, "can't save"? Are you saying that after you make the change and save your settings, when you go back to the BIOS the boot order is back to what it was before? That realy doesn't make sense. . . usually ATAPI has boot priority by default.