The most likely causes are either drives set up wrongly (jumpers set to masters instead of slaves), incorrectly seated IDE cables, master / slave connected to the wrong connectors on an 80-wire IDE cable, or 'fussy' CD or CDRW drives (some insist on being set up as master).
Go back to square one. Disconnect all drives, check your HDD is jumpered as a slave, reconnect that HDD only. Ensure your IDE cable and power cable are fully seated on the drive, and the IDE cable is fully seated into the motherboard connection.
Boot up with that drive only. If you still get the 'Insert boot disc' message, go into the BIOS and set all drives as Autodetect, try again.
Once you have the HDD working, set the CDRW as Master, connect it to the second IDE cable, reboot. If that is OK, finally set the CD to Slave, connect it to either cable (try the same one as the CDRW first), and reboot.
Post back if you get stuck at any stage.