Hi DGB,
are you sure that is an original AOS 3.9 CD?
AFAIK, there is no paper doc bundled with the OS3.9 CD (almost not with mine) but some resellers, has done a little printed manual to help the users.
Anyway the "Create Emergency Disk" option ,is inside the Main "AmigaOS3.9-installation" icon.(that is in AmigaOS3.9:OS-Version3.9 dir)
Start those icon and you should see the "Create Emergency Disk" option.
When you insert the AOS3.9 CD, you should see:
1-CDDA icon
1-AmigaOS3.9 icon
1-Emergency-Boot icon
Can you see it?
Which CD filesystem do you have?
On the CD, there is a full CacheCDFS (OS-version3.9/CacheDCFS)
Ciao
PS- try to run SnoopDos during the installation attempting.