Rosetta Stone to MacBook Air?

Basically, you have three ways.

1. Remote Disc. A means by which your PC's DVD device can be linked to your computer.

2. Copy CD contents to USB flash drive using your PC. Then use USB drive to install software to MacBook Air.

3. External Superdrive, or another compatible external USB DVD device.

I would opt for #2 right off, if you have a flash drive to use. No configuration required.

I tried option 2, and when I opened the setup file on the flash drive a text file opens with a bunch of characters and at the top it says "program must be run with Win32"

The assumption here is that you would be using a Mac version of Rosetta Stone. It sounds like you're using a Windows version.