If your DVD is set to load first, a message should pop up to the effect" Press any key to load DVD". Are you niot getting that. If not, have another look in your bios and make sure you have really enabled the DVD as your startup device or, if more than one, the correct one.
All failing, give the DVD a good clean with a soft cloth and retry.
As you assembled the computer yourself, open it up again and make sure you have all the DVD connections correct.