So, you mount the cdrom, navigate to the directory, and see setup.exe .....
The next thing to do is, if you are in a file manager, open a console in that directory, or if you are navigating in the console, just type in "winex3 setup.exe" without the quotes. That should start the install process. (I am assuming you have winex3 or 3.1 here).
Hopefully, all goes well and the game installs. That should leave you with an entry in your home/username/Transgaming Drive/Program Files/NameoftheProgram directory that looks like "game.exe"
To run the game, you open a terminal in that directory and type "winex3 game.exe" and the game should run.