I think it's likely to be an issue with a setting in your BIOS. What's the exact brand and version of BIOS you have?
I would've suggested that it was the boot priority. Have you disabled all other boot media (CD drive, removable, network and floppy)?
The other (unlikely) possibility is that you're planning to use a SATA RAID hard drive setup, in which case you need to install drivers before the Windows installation starts.
