Hello Marekszober

Welcome to PCHF
Some wireless keyboards/mice won't function correctly prior to your operating system loading. It is always good to have a wired keyboard and mouse laying around. These days you can pick a set up for like 15 bucks.
I can't say I would know how to keep your wireless transmitter on during the entire boot process. It is probably just a flaw in their design. There isn't a way to bypass that "press any key to boot to CD" message. Its purpose is to prevent the CD from automatically being booted into during the operating system install process. Otherwise, you would just start the operating system install from the beginning over and over. It would never get to the part where it copies the OS files and sets up Windows for the first time.
Hope that helps!
