The most common cause of what you're seeing is that you did not set keyboard focus to the virtual machine after powering it on. Unless you do that, the key pressed on the keyboard will not be recognized by the VM and the Windows installer. If the key press isn't recognized by the VM within about 5 seconds, the installer will assume that you want to boot from the "hard drive". Which will fail because there's no operating system installed on the hard drive.
Make sure that after you power up the VM and see the "Press any key" prompt you do 1 of the two following things to set keyboard focus to the VM:
- Click the mouse pointer in the VM's window.
- Type Command-G
And then press any key on the keyboard. The Windows installer should then boot.
You need to perform setting the keyboard focus and pressing the key on the keyboard within about 5 seconds. The time to do this is set by the WIndows installer and you can't change that from Fusion.