Well that is not strictly true although I will admit that I am splitting hairs a bit. BUT for the sake of accuracy and all that.
You get what is called the P.O.S.T. screens come up. (Power On Self Test). This lists various checks that the BIOS does at switch on such as a memory check etc. Then it says no OS found.
The BIOS screen is only accessable by hitting the F1/F2/Delete key or a combination of those keys depending on your bios manufacturer and then you can adjst various parameters that happen when you boot your computer and when you are using your computer. For instance you can set the boot order with in the BIOS or turn on or off other various functions such as on board graphics etc.
In order to boot to CD, you will often have to do one of the following:
1.) Go into the BIOS (normally tapping F2 or the "Delete" key immediately after turning the PC on). Normally there is an instruction at the bottom of the screen which tells you which key to use. You can then change the default boot order of devices.
2.) Go to the "Boot" menu, sometimes F12 I think, depends on the manufacturer. From this you can select what you want to boot up from now. This doesn't change the default.