I could not get my CD-ROM to boot. In theory from what other members here have said it may be possible. According to the 3.9 docs you need to have a OS installed and then you can use the CD to make a boot disk.
I have no experience with AROS but this could work. If your drive is already partitioned on the amiga just plug it in to the PC (sounds like you'll need a 2.5 > 3.5 adapter) and mount it in WinUAE, and then install workbench and a CD-Rom driver. After that put the drive back in the Amiga and install 3.9 from there.
If your drive is not partitioned, start bidding on some 3.1 disks.