There has been a failure to load the CDROM device driver. This may be either from a hardware fault in the CD drive or an incorrect CONFIG.SYS or AUTOEXEC.BAT line.
In Win9x, the default CDROM driver is oakcdrom.sys (usually found in the c:\windows\command\ebd directory) but there are others as well. Make sure the one for your drive is loading right. Set the startup to Verify Each Step from the F8 startup menu and watch the response to each line. The line in config.sys and the line in autoexec.bat should have the same /d:mscd001 parameter, if both are present.
In WinXP, you would need to go through Admin Tools steps or something...
In the hardware, unplug and reconnect both ends of the flat cable between the mainboard and the CDROM drive and make sure the power connector is in right (and that it is not a 12-volt-line-only 'fan power connector). Check the BIOS settings and make sure the CDROM is recognised properly.