I'm assuming you bought this computer with Windows7 pre-installed. If that's the case there is something wrong - a new machine shouldn't lock halfway through the boot process.
The message that you can press F2 to enter Setup or F12 for the boot menu is a standard one - it appears on all computers during the Power On Self Test (POST) process that all computers go through.
My guess is that your computer's boot order might be set to boot the machine from the CD drive. That's very unusual in a new machine, and before we go any further please confirm that it is new. There are some steps that we can take you through to rectify the problem, if it's what I think it is, but confirm that information for me first.