Installing setup.pkg files from Windows software suites

Hello,
I'm still quite new to Macs--and I'm running OS X Tiger. My problem is that I'm trying to install a setup.pkg off of a software CD meant originally for Windows 98 SE. Yes, I know that's absolutely crazy to try to install it; but, when I opened the software CD and clicked to open the setup.pkg file, Installer opens and tells me that "Setup.pkg could not be opened." What can I do, if I can do anything?

Thank you,
BT