This doesn't belong in this forum... however I imagine when you say you "started the CD up" you mean that you're still in Windows and you just popped it into your disc drive. You need to understand that when it comes to an operating system, it's not just another program that you're installing.
What you need to do is boot to the CD. It is hard to say exactly what you need to do without knowing your system but there is a chance that you could simply reboot your computer with the CD in the drive, and it will automatically boot into the CD. If not you'll need to open up your BIOS settings (immedately after your computer turns on you press F1 or F2... there's usually a prompt that says press F# to enter Setup...), and then look around for start-up options or boot order or something similar. In there you'll want to switch the order of bootable devices around so that your CD-ROM drive is before your Hard Drive.
Keep in mind however that when installing an OS, you have the possibility of wiping your hard drive clean of all data! Some Linux distros will set you up with a dual boot and allow you to have both Linux and Windows on your computer. Also many distros will let you simply run Linux from the CD without installing to your hard drive so that you could try it out before you commit.
Sorry for the long-winded response, Hope something in there helps!
Did you burn an .iso file? Or did you just add an .iso file to a data CD? Their are lots of little things you could have done, I would suggest reading a little bit on the website on how to install the operating system.