Ah, you've disconnected both Hd's and you can boot from the CD ? This is good, this means that your CD-rom drive IS capable of booting from Cd.

The reason it works when you remove both Hd's is because there is probably a boot device priority command in your BIOS which says that the computer should first boot from c:(your hd), then your CD-rom and probably then your a:(floppy)
If you remove the first device from the list (like you did with your HD's by unplugging them) then it will boot first from the Cd-rom.

So you need to alter this boot device priority command, and this is only possible in the BIOS. You don't need an OS booted to get into the bios, just try and pressing <DEL> or <F1> or <F10> during the FIRST SCREEN of your boot, whichever works for your system - when in doubt check your system's manual. (note : you should press this button BEFORE the actual booting from the HD starts!!!).

Once you've entered your BIOS, look for the Boot Device priority list. You'll probably find it in the "advanced" tab of your bios.
Make your CD-rom the primary boot device.
Then save and exit.

That should do the trick.

Good luck!