Please don't use the CDs unless you have a specific reason to do so. The DVD is easier and much faster (40mins cf 3+hrs)
Download the DVD image using the torrent, not the ftp mirrors
Burn the DVD at your burner's lowest possible speed (this is critical)
Boot your machine from this DVD - note that this will erase everything on the drive you point it to, your "core" LMCE server should be dedicated to the task and always on, otherwise you will not be able to get LMCE working properly.
Also note, that it is very important that your 'core' LMCE server has two NICs, one connected to your Internet router, the other connected to your internal, house network - LMCE will mediate all communications between the internal network and the Internet... again this is very important for a setup to work properly.
Ideally, use nVidia graphics chipsets, and if they are newer chips, then you will probably need to install the latest drivers from nVidia before you get an image - instructions on the wiki under Display Drivers... very easy to follow and reliable.