Well, this ain't windows, you'll have to use the command line for this little adventure. What you should do is, from a command prompt type 'cd /mnt/cdrom/UNIX/LINUX_32/'
then once you are in that directory type ". ./R3SETUP"
(you need the first period to tell the shell to source the file and the ./R3SETUP means the file relative to your current path). This should start the program. Get used to using the command line and feel the freedom of open source. Bill can't MAKE you use the poin-n-click-n-don't learn sh*t method here.
And don't forget to