Installing an Application from CDRom

Hi. How do you install an application from a cdrom on redhat linux? My problem is this:
1) I mount the cdrom, then I open the cdrom icon to visually see the folders and files listed.
2) I find the setup.exe folder to install the application, but all linux wants to do is open the application with some program, which I am supposed to pick. None work to execute the setup.exe.
3)So how do I install an application in general or specically using this process, or using the command prompt?
Thanks for your help: Pat