Assuming (safely) that the OP means the Windows operating system, that leaves another question:
What version of Windows? Since the OP did mention DVD, I can probably make an assumption (fairly safe) that it's Vista.
@OP:
You need to go into your computer's BIOS and change the boot order so that the computer boots from the DVD-ROM drive first. Every computer is different in this regard:
Dell computers require pressing F2 during startup to get into the BIOS.
ASUS, MSI, and Gigabyte motherboards require pressing Delete during startup.
Others may require another "F" key (F1-F12), Tab, Esc, or Enter.
Once you're in the BIOS, you have to change the boot sequence. Your hard drive might be listed first, which is why your computer is not booting from the DVD. Move the DVD-ROM drive to the top of the list, save your changes, and try again.