Installing Windows on new PC with Sata hard drive... My son has just bought a new PC with a Sata

Question

My son has just bought a new PC with a Sata hard drive. When I start it, an error message says press any key to boot, but this keeps repeating. I've gone into the Bios and changed the boot drive to a Windows CD but it does not run it, neither will it go to the C:/ prompt I'm wondering do I need to format the drive first and if so how when I can't get it to the C:/ prompt?