That's because you're booting off the Windows CD, and it can load a varient of DOS. It has nothing to do with what's on (or not on) your HD, and even if it was, the Ubuntu installer (if you can get it to run) will be able to totally wipe the drive again if necessary (which I doubt).
Anyhow, it's definitely not the CD if it's happened on three of them. If the CD image had no boot files, you wouldn't have been the first person to have a problem with it by any means

. It's something related to your computer, probably on the BIOS side, but I can't think of what it is at the moment. See if anyone else here has any idea. It's a bit strange that you can boot from the Windows 98 CD while the Ubuntu CD, by the same methods, won't work. Same drive, same BIOS settings and all, right?