No, you jsut insert the disk and boot straight off it. Install it on your HDD on your good to go. This is how I installed it when I had the same scenario.
Doh! I feel rather foolish. I have a very old system and have been away from new hardware for a long time. One didn't used to be able to do that. Thanks so much! I'll get to it then...
Normal boot order for systems these days is CD/DVD first, HDD second.
Make sure in the BIOS to set the order correctly, when you boot up it will hang looking for an OS, simply pop in your OS DVD/CD, hit a key, and away you go.