installer doesn't execute

I am working on my first installer. As a test, I burned it onto a cd. Then I popped it into both my dvd and my cd drive. In neither case does setup.exe get called. What is it that I need to know?

So you burned your Setup.exe to a CD. Did you also include an autorun.inf to let Windows know what to do when you insert the CD?

Now I have -- Thanks so much!