The autorun should start up automatically when you insert the disc. If the CD is in the drive when you start up your computer, it won´t. To get to the nistallation screen manually, open your explorer, browse to D: (or what ever letter your CD-ROM have). Then doubleclick setup.exe. This ought to open the installation screen. If you want to make CDs play automatically I recommend this tool TweakUI. In this you can select a number of small settings, including cds to autplay (under Paranoia). To get this go here
TweakUI. DO read the warning and the bug info first!!! Or better print the if you can. One is quite severe (control panel access)!!! And there´s help on the site how to correct this problem.