One-click root does not work from donut.

You can find some resources via Google for downgrading to 1.5 in order to use the one-click root apk, but my recommendation would be to instead follow one of the tutorials on Cyanogen's wiki. (Which one you use will depend on which phone you have.) If his isn't the rom you want to use, just proceed through installing his recovery image and then either leave as is or download and install whichever rom you want to use.

I should mention that you should do enough research to feel comfortable about what you're doing, have a plugged in (or at least fully charged) phone when you start the process, and be aware that even though it's unlikely, you might brick your phone.