NT is much different than the 9x series. not as much hardware is supported under NT as 9x, since it was targetted at a diff user base.
You have a CD-ROM, but it might not be supported.
Check the HWCL for NT4 to see if it supported your device. If your device is newer then what was known at that time, you might want to look on other sites-forums that are specific to NT, and give more information, such as the system your installing it to, the types of devices you have.....
You can also check on the CD itself for alittle info, look under the folder /SUPPORT for the file Hcl.hlp
Hardware Compatible Test/List
http://www.microsoft.com/whdc/hwtest/default.mspx
Windows NT/2000 FAQS site
http://www.winnetmag.com/windowsnt20002003faq/