Did you look at my screenshots? What, exactly, are you seeing when you open the 3.9 CD? Post a picture. Do you see icons, like in my screenshot, or just the generic "tool" icon? (hammerhead)
This isn't exactly rocket science, double-clicking on the "OS3.9-Installation" icon should launch the installer. It almost sounds to me like your system isn't reading the CD correctly. I'd go back and re-visit that. If you're not seeing the proper icons, then your system isn't reading the CD correctly. Probably a file system issue, you need to get that addressed first.