When your CD menu comes up just click on the "install" option. This will just start the installation procedure and you will be able to tell it where to install and you have the option to quit.
I like to check the drive with gparted before I do this and you will not have that option although you will get a partition editor in the installation. Just take your time and make sure that you are putting it where you want it.
The most important thing that you must do is HAVE FUN.