Wow, I know I'm a year late... but I hope this will help people with the same problem, as there are many people with this problem. (I found that out while trying to solve it for myself)
OK here is what you do--
1. Put the disc that you want to be installed into the disc drive (if it has multiple discs, just put in the first one, or the one labeled "Install")
2. Go to "My Computer" (either in the start menu or on your desktop)
3. Right-click on your CD/DVD Rom drive (it should have an icon indicating the Game you are trying to install)
4. Select "Explore" from the drop down list that came up when you right-clicked.
5. There should be a screen with many different icons-- Double click the one that says "Setup"
6. If there are more than 1 "setup" files, it is usually the one that says "Setup.exe..."
I hope this solves your problem, it has helped me out many times. I figured it out after going to endless forums trying to find the answer.
God Bless
