VMWARE Newbie - installation problems with the guest operating system

I heard a lot about the use of VMWARE for a long time so I downloaded and then installed ESXI 3.5 on a test area.  I installed the client and have been able to create a new virtual machine.  However, I run into some difficulty with installing a guest operating system.  All the pdf that I could find have suggested that simply by putting a CD in the server's drive and then turn on the virtual machine would start the my guest operating system installation process.  Unfortunately, my VM doesn't seem to see my CDRom and tent drive a start-up network, followed by a brief wait for the message 'Operating system not found' timeout.

Can someone please help me find a way to create a new guest OS on my VM so that I can.

1. understand the process

2 start testing.

Thank you in advance.

If you have installed of course the VI Client to create the VM, and you insert the CD into the ESXi host? You can go to change settings on the virtual machine, click the CD/DVD and select the option use the host device. Also ensure the connection to turn on is checked.  When you turn on the virtual machine, it should see the CD that you inserted in your ESXi host. Once you get the operating system to load, you can configure to allow remote desktop connections and access the VM as a traditional physical machine, rather than relying on the console of the VI Client view.

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