Optiplex GX200 - Problem booting from cd

Hello, I'm currently running Win 2000 NT on an Opti GX200. I wanted to reformat the computer and stick Windows 95 on there as the OS, so I could use real DOS. Now, I've gone into BIOS and set the boot up order correctly (cd drive first, hd second) and when i go to reboot, I get this message: Strike F1 to reboot, F2 to enter set up. I also got the cover removed alert, but I always get that. Iopened the box up and made sure all the connections were tight, and that the jumper was in the right spot on the hd. Is there anything that I'm missing here? Any help woudl be greatly appreciated. -Confused