Steelth, has this issue been resolved?
The replies above are correct, change the boot order in the BIOS. The way you are choosing to boot is a "One time boot" option. You have to go into the BIOS settings (F1, F2, Del, F10) can all be buttons to access the BIOS for your motherboard.
When the computer is booting, the first screen you see should display the button you have to press to get into the BIOS.
From there you need to get to the section that has the Boot order. You have to change it so that the Hard drive comes before the CD drive in the list and the issue should be resolved.