Secondly, open up Windows Explorer and navigate to the DVD itself and run the setup program from there.
Or is this the first NFS game? If so, I don't think that can run under Windows 7. What version of Windows 7 are you running (Home, Professional, 32-bit or 64-bit)? If it's 64-bit, then that could be your problem as the first NFS came out around 1995 for the PC. Either it worked under Windows 95 or Windows 3.1. More than likely, this is a 16-bit application which will definitely not work under 64-bit Windows. It MIGHT work under 32-bit Windows 7.