|You may have selected a different option, like do nothing, at some point that you entered a cd, or it could be broken, or it could be that you have a dvd disk in a non-dvd rom drive, or you have a cd in a non-cd rom drive. :)|
So, go to the start button, click computer, and select the disk drive with one left click, not two. Right click, select autorun. If this fails, try open to explore the disk from the right click menu and choose the setup.exe file.
If this does not work, confirm that you have a disk that can be read in your machine and check the disk on another computer.