well you basically got it right, but i don't know what your
getting at by saying mount the cd on winex ..
that sentence makes me think that its what is giving you
your trouble ...
just mount the warcraft cd like any other ..
or whatever you have to issue to mount your cdrom device ..
and then navigate to the cdrom or simply type the full command.
both examples :
now i don't know if the setup file is actually called setup.exe but
as you know typically it is ... and once you execute it, the
installation will start just like if you were sitting on your windows
box ... looks the same, same buttons, same actions, etc ...