Do you have an aftermarket recovery or SafeStrap installed? If you don't, you won't be able to install CM.
That is the screen for your stock recovery. To get into recovery itself, you hold vol down and tap vol up at the same time. If you have SafeStrap installed, you need to reboot the phone and wait for the SafeStrap screen to come up. When it comes up, choose recovery, and then you'll be booted into SS recovery. In there, you can create a slot and flash CM.