Windows Installation

Seeing if anyone has had this problem. I am building a new machine, Athlon 64 3800+ with Seagate SATA 400GB HD. I am using and MSI motherboard KN8 Neo 4, and @GB of Elixir memory. I begin the Setup (XP) and it does the initial blue screen install (formatting the drive with the NTFS format), and after all is said and done it begins to restart the machine so that the rest of windows can be installed. Now when it resests, usually it would say Boot CD, then the next statement would be press any key to boot from windows CD, but you are not suppose to, you let it go through so that it can continue installing. Well when my machine resets it shows the Boot-CD, but it does not show the "press any key to boot from windows CD" statment. IT just restarts the blue screen installation. Has anybody had this problem b4, and how did you take care of it. And advise is greatly appreciated.