If you do not see Setup.exe on your disk, it is very likely you have a Mac version of the disk. You will want to exchange your purchase for the Windows version.
Are you on a PC, or a Mac?
Along Brett's line of thinking, some utilities, like MacDrive, can "hook" one's multi-drive, and basically convert it to Mac, effectively hiding most of the PC structure, including EXE files. Do you have any utilities, that might load at bootup, that would affect your multi-drive in any way? Some that can get in the way, though usually in other areas are: Nero & Roxio packet-writing software, like InCD, or DLA.
When you have inserted the DVD, when you view it in Windows Explorer, what do you see for files and the folder structure?