Plain and simple ---
file not found means there is not a file by the name you typed at the path you typed.
where is this file?
is it on a cdrom?
are you booting from a floppy?
if you can see the file by doing ls -a
then the file is in your current folder
you can use ./setup to run it
I would recommend redhat because I use it
but really it is as user friendly as it gets in my opinion.