The cd should autorun and run the set up files required. I do not use XP but if you loo in Control Panel, there should be an icon for Autoplay or Autorun. Select this and look for a tick box to Autoplay media. Hope that applies to XP but any XP user out there can correct me if necessary. You can also run the exec file yourself. Look at the Cd contents and try and find a file such as Run.exe or Setup.exe or similar and click this. Hope this helps.
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