Right click won't work

I am running Vista Business edition on a dual core Thnkpad X60 with 3Gb RAM.

Loaded a CD with a program that I want to install. Tried to right click on
the setup.exe file but nothing happens. Tried double clicking on the file to
get it to run - still nothing. Attempted to drag and drop to the desktop and
received the message "Files on this CD-ROM are read-only. You cannot remove
or delete files on this CD-Rom." I can right click on the subdirectory that
this file is in so I tried to copy the entire subdirectory. The directory
copies to my desktop and then I receive the message "Files on this CD-Rom are
read only....".

Can anyone explain to me why I can't run the program, copy the file or even
right click on it?

Thanks.