Problem in dual booting installation of linux on windows

Dear friends,

I am experiencing the trouble while installing the Red Hat Linux 4 on top of windows XP, after booting its asking "What type of media contains the packages to be installed". 

Steps I followed:

Step 1: left the free space as unpartitioned, (I also tried with the FAT32 partition).

Step 2: booting the linux cd

After booting its asking for keyboard information then the next is the one I have mentioned above...

My system configuration is

Processor Pentium(R) Dual-Core CPU E5300 @ 2.60GHz (2CPUs)
Memory: 2GB RAM
Hard disk: 250 SATA

I appreciate if any one can provide me with suitable sollutions.

Kindly revert if any further information requires.

Thank and regards
Suneel

Since you're installing from cdrom, I'm going to make a wild guess and say the packages it wants are on cdrom...