|First read any of the manuals that you have received with the printer; often there is simplified version - aka quick setup/installation" or similar.|
Then having done so... insert the setup disk - follow the on-screen prompts...
Usually the instructions are very specific about when to actually connect the printer (via usb initially); so be sure to read and note when that is... - before actually running the setup routine from the CD.
If the CD doesn't automatically run... then browse the disk contents (via windows explorer) and find the setup.exe file. Click on that and it will (or ought to) start the setup process.