Generally this means that the CDRom or DVD Drive in your computer is set to boot after the hard disk; this will cause a problem as usually you'll be installing Linux over a system that already has an operating system on the hard drive, so you'll need to change the setting in the BIOS.

A setting in the BIOS configuration for your motherboard holds which devices should have a priority above all others, this will be unique to your system and accessing the BIOS will be unique to your motherboards settings.

This setting is generally labeled as "Boot Priority", "Boot Preference", or "Boot Order", and you'll want to select "DVD" or "CDRom" as your highest priority, followed by your Hard Drive.

You can find how to enter your BIOS configuration by reading the manual that came with your Motherboard or Computer, or accessing the manual online by viewing your Motherboard or Computer Manufacturer's webpage.