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If Windows is starting instead of your boot CD, you probably need to enter your BIOS config and set the CD-rom as the first boot device, usually this is one of the function keys (F8, F11, etc) - you should see a prompt for this whenever you boot your PC.
You did burn it as a CD image, not just copy the iso directly to the CD?
For any Debian package, assuming your sources.list is up to date and you have an internet connection, you can just use apt-get (as root) to install - apt will download the appropriate files and install.
apt-get install kde