Set up operating system without cd-rom

Hello, I am here with a very complex problem indeed. I am a laptop user. I am using Windows XP in my laptop.
For the last few days I have been wanting to set up an Operating System on my laptop. Last day, I set to start the set up but my CD-ROM is not working. I tried a number of times but its not working. I need to set up an operating system immediately, but don’t know how?
Can anyone help me overcome this problem? Please.
