You could copy all files from the CD to your Amiga's HDD, but with a serial connection this could last very long.
The quickest way probably is to connect the Amiga's HDD to the PC and use WinUAE to install OS3.9 on it.
Or conect a CD-ROM drive to your Amiga. Officially a CD-ROM drive is a prerequisite for OS3.9.
Bye,
Thomas