The setup script is only used in the installation and resides on the installation CD. It's the way it's meant to be if it's not found.
In slackware you do all the work manually, no hand holding here.
Welcome to LinuxQuestions though
I'd say you have great distro in your hands if your interrested on learning to use linux. I think Slack is the best distro for the job, though I can't get mine to boot at the moment...