Yes, you have the option-boot select screen. It's not precisely a start-up manager - but allows you to select any bootable drive or partition that your Mac might be able to 'see"
If you insert the 10.5 installer DVD, then restart holding that Option (alt) key, then you should see the installer DVD as a choice. You said that there's no hard drive installed, so the installer DVD would be the only icon that would appear.
The two arrows that you see, are the curly arrow, which is a 'try the search again' for a bootable partition. When you see several partitions, you can select whichever one that you want, and then click the right-facing arrow.
If you are simply trying to boot to the installer DVD, then all you need to do is restart while holding the letter C, and your Mac will attempt to boot from your installer DVD.