It seems that the 'autoload' function for cd's has been turned off on your PC (assuming you don't have a MAC).
Put your CD into the CD reader.
If you have a PC, click on start, then 'My Computer' or 'computer'.
This opens windows explorer or a dialog box for you to choose which disc to explore with the system file manager.
Your CD is usually an icon which looks like a CD - select this disc drive.
You should now see all the files which are available on your CD.
Normally, to start the installation of software onto your computer you double click on the file named 'setup.exe'.
Alternatively, read any help files shown on the disc eg., *.txt, *.hlp, *.chm. (* simply means anyfilename)