Linux Question #1

I've put the CD for Tux Racer into the drive of the laptop. Double-clicking the CD brings up this screen. I have clicked a variety of these icons, such as INSTALL and Setup.exe and nothing happened. What am I supposed to do?

Also, I used apt-get to install a music composition program called Rosegarden. It's not in the Applications menu. This has had no noticeable effect on the computer as far as I can tell. Where am I supposed to look to open this program?