The two most common ways to get a copy of the latest version of Red Hat are to either buy a boxed set, or to download copies of the actual CD ISO images from an official mirror site (or to just borrow them from a friend -- that works, too).
The most common reason for a failed install is a corrupt CD. If you downloaded and created your own CDs, it's a good idea to check their integrity by verifying their MD5 checksum with some form of the md5sum command, either on another Linux host or on a Windows system. You can find a Windows-based version of md5sum by doing a Google search easily enough.
If you don't want to verify the CDs ahead of time, an early phase of the installation process gives you the opportunity to do that, anyway.