well when installing to some of my clients computers, they didnt have their CD-ROM set up as somthing to boot off of, so you have to go to the CD drive through the CD-ROM and run setup, than the screen pops up. It's better to learn how to do it that way so than if your auto play doesnt work, you have somthing to fall back onto...and I can do it through DOS faster than sombody could with their auto play.
Also, you can create partitions in DOS before you install windows. Much more reliable than installing windows and using Partition Magic. but partitions are terrible.
DOS is programmed into your motherboard, if there wasnt DOS, nothing would work correctly.