What you're describing is impossible : The BIOS only lets you reposition boot media.
You're likely not on the right BIOS menu.
Take a picture of the BIOS screen with a digital camera and post it for us to comment upon.
I see this is a Phoenix Award BIOS.
I guess that this is not a new machine (please correct me if I'm wrong).
Windows is probably being booted since "Boot From Other Device" is checked and the CD is not bootable, so the BIOS searches for some other boot device. This option is normally meant for USB boot, but it may also work in your case for the hard disk.
I wonder if the boot CD is a DVD but the drive only supports a CD.
If this is not the case, then the CD you're trying to boot is not a boot CD or is dead.