If you have an installed OS, just mount the CD drive and install, as gary2000 says. But it sounds like you don't.
So if you don't have an installed OS, hopefully you have a bootable CDROM drive, and hopefully it's a bootable CD (I can't remember if it is!), it might not be.
You don't necessarily have to install on the same machine you plan to run it on. You could install it on another machine and copy the installation over, or, put your hard drive in another machine and install it there.