Sorry, you haven't given us enough info. What are you trying to install? How exactly are you doing it? What distro are you using? We need more details here.
I'm not aware of any Linux programs that come on installation disks (other than the distros themselves). Almost all FOSS stuff installs through one of the major packaging systems or through source compiles, with an uncommon few like Firefox using independant installation programs. Unless you're trying to install a Windows program under wine, the error you're reporting is very strange.