[Wine] Can't install red alert

[WHComp]

Hello, I am new to Linux and just downloaded WINE to play the original RED ALERT.  It doesn't seem like it should be that hard but here is what is happening.  

I have the game unpacked to a file on my hard drive.
So, I right click on the autorun.exe and run it with the WINE Application.
I get the Red Alert startup page but when I click proceed I get an error:

Z:\automenu.exe
There is no application associated with the given file name extension

There is no Z: on the computer so how to I get the autorun to find the automenu.exe file on the hard drive.

I also tried to run the automenu.exe file directly but get an error saying

Unable to locate the necessary files
Please run setup.exe from the disk

Any help would be appreciated.