According to apple-history.com, the most recent MacBook Pros are capable of running 10.5, but it has to be at least 10.5.7. Your retail Leopard disks are probably of an older minor release (maybe even 10.5.0).
Boot from Your Backup
If you have a bootable backup of your previous (at least 10.5.7) OS that your ran on your previous Mac, then you should be able to boot that. If you do not have such a backup, resolve to start making them as soon as you get your new system running (I use SuperDuper!, but Carbon Copy Cloner also seems to do a good job).
or Install via Another Machine with Target Disk Mode
Without an already-installed 10.5.7 (or better), you will (temporarily) need another machine that can boot your Loepard DVD.
- Start your temporary machine with the Leopard DVD (hold down C while booting or hold down Option and choose the DVD from the menu).
- Start your new MacBook Pro in FireWire Target Disk Mode (hold down T while
booting, or click the “Target Disk Mode…” button in the Startup Disk preference pane of System Preferences).
- Connect your MacBook Pro to the temporary machine with a FireWire cable.
- Install from the DVD onto the partition on your MacBook Pro.
- Be sure not to install onto any of the temporary machine's partitions!
- Boot the temporary machine off the newly installed Loepard partition.
- Run Software Update to install the latest updates, or at the very least, the 10.5.8 update.
- If you are lucky, your MacBook Pro should now be able to boot from its Leopard partition.
- Shutdown the temporary machine.
- Restart your MacBook Pro, holding down Option choose the Leopard partition from the boot menu.
- Use System Preferences's Startup Disk preference pane to choose the Leopard partition for subsequent boots.
Why Can't You Just Boot the Leopard Install DVD?
In general, new Macs may not be able to boot older OS releases (either major, like you want, or even minor). This is due to the fact that the new hardware requires new drivers that are only included in the special build that the machine comes with (also later included in subsequent minor releases). You can try to find a machine that originally came with 10.5 (apple-history.com might be useful). For critical systems, it is a good idea to have a hardware backup (of similar vintage) in addition to your bootable system backup and data backups.