Somewhere in the Advanced options bit (or some other similarly worded option) should be a place to choose the boot order. You'll probably have Floppy, then HDD1, then a couple of others, there's usually 4 options.
Change the top one to CDRom instead of floppy temporarily, reboot with the CD in the machine. Once XP is all installed, you can switch it back to floppy, though to be honest a more useful boot order is Floppy, CDRom, HDD1 (this will slow your boot by a few seconds if there's a non-bootable CD in the drive).
If that doesn't work there is an actual Windows XP setup bootdisk set available from
here for XP Home and
here for XP Professional, both from Microsoft.