Reboot Error

I am having a bit of a problem with booting up of my computer. When I try to boot it up I get this message

"Reboot and select proper boot device or insert boot media in selected boot device and press a key"

Having a look around some places, some people say that I have to use the reboot cd I got with the machine. However... I didn't get a reboot cd with the machine and I've got no other idea what it could be. Any ideas?
Thanks