THERE IS NO DVD FOR LION
Why not read. When you are at the forums head click Overview. There you find links to "Support" and "Manuals" and you had to have used Boot Camp Assistant and missed the instructions in there, with the "save to disk or print"
You would have had to save the Windows support software in the Assistant too. That is built into Lion version.
Lion is electronic only. With new Macs having only network install (but good idea to SAVE the installer ESD package - before running the install because on restart it auto-destructs and removes it from the hard drive (why they don't keep a tiny 4GB file locally is probably not going to satisfy or ever seem rational and logical).
You have to use Boot Camp Assistant to get the Apple Support Software for Windows.