What you need to do is create an installation disk from one of the installation diskette images contained on the CD-ROM. I don't have any Red Hat CD's with me right now, so this is from memory and I can't give you the exact file names.
If you look on the CD you'll find a directory called "images" or the like. You'll know you have the right directory because the files within it will end with the extension .img. You'll only need one of the files and they are named such that you can pick the correct one by name. I think the one you'll want for a local CD installation is called boot.img
If you are booted into Linux, you can use the dd command to create the installation diskette:
dd if=/directory/on/the/cd/boot.img of=/dev/fd0
If you don't have a Linux box handy but have access to a Windows box, you can accomplish the same thing with the rawrite.exe program.
Detailed instructions about this topic are available on Red Hat's site in the installation guide.
Barry