Booted from ISO, Can't get back to OS X

In order to do memtest, I set up to boot from the CD.

Now I'm done and want to get back to OS X but cannot. With the CD removed I get something like

No bootable device -- insert boot disk and hit any key.

Tried it with my OS-X install disk and that would not boot.

Hopefully something simple, but I'm not getting it.

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Later -- found out that holding Option during power up lets me choose boot device.

If I'd boot from CD that way in the first place I suspect I'd not have had this problem

Phil