Well.....it needs to be a CD with some kind of OS on. You can make a bootable CDrom for xp. Why is this needed? Your better off making a bootable floppy disk unless it's an install/repair. if you have no os on you hd then your cmos would look to the next device in the chain anyway so why do you want this to happen for ya?
Edit: You can't just throw any old CD in there and expect it to boot up because you will bet the exact error message yo are already getting. after the bios is loaded it looks for a deivce containing the operating system. If none is found...no dice!!!!
Noli Nothis Permittere Te Terere!!
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