Your system can't boot with nothing on the drive, because there's nothing there to boot. If the drive is brand new - that's why.
The first thing is to decide what Operating System you're going to use.
If it's XP - you boot from the CD - this will take you through a dialogue to partition, format, and load XP.
It it's WinMe or Win98 - then you could get a boot disk from Fruitbats link. You then boot from the floppy disk you create from the download. Then run FDISK to set the drive up - the FORMAT to finish the setup process. Then you can reboot from the floppy disk and run the Win CD to install the OS.