|There isn't a great deal to say about setup.exe.|
1. Put CD in drive
2. Use windows explorer to browse the CD contents
3. Look for a file named setup.exe
4. If there is one, then you can start up the install in one of two ways:
4a. Right click with mouse on the setup.exe file and select open
4b. Double click on the setup.exe file
using either 4a or 4b should start of the installation process for the printer.
Incidentally what is the model identity of your HP printer?
NOTE: Sometimes equipment makers may update their drivers (in your case printer driver) if they find a problem with it after the driver was released on CD. The only way of knowing whether there is an update for your model is to visit the HP support website and check and download the update if there is one. I am inclined to think there is possibly an update that you need based on what you have indicated.
You can start by looking here:
☺ When everything else fails, read the instructions.