Assuming you have an existing installation of an OS on a local drive, the error message means either the boot sector of the drive is corrupted or there is nothing to boot into on the drive.
First, check and see if you can try booting to any other drives (or to the CD) from the alternative boot menu, if included with your system BIOS. (Mine's esc.) If you can run the XP setup disc, enter the recovery console and use CHKDSK X: /F, where X is the drive letter you're trying to boot from.
If you can't boot to a working drive from software, open up your PC (or have someone do it for you) (with the power off, of course) and make sure the connections are good. Are all your drives powered correctly? Are any connectors loose? If you're using PATA / IDE drives, are the jumpers and cable set correctly?
If your hardware connections are good but you can't boot into anything, your hard drive and/or optical drive are probably damaged.
Note: To boot into CD an alternative way, open your system BIOS and look for 'boot order' settings; change it to something like:
1. Floppy / Memory card
2. CD
3. Local Disks
4. Network