Dirty CD or CD/DVD drive
Click here and follow the instructions to check your CD and drive.
Mac-compatability software is installed on your computer
Third-party software that allows Windows to read Mac CDs and iPods (such as MediaFour's XPlay or MacDrive) can cause this problem.
Because your TurboTax CD has both Windows and Mac files on it, the third-party program assumes you're trying to install a Mac program and hides the Windows file, including setup.exe.
To resolve, disable or uninstall the third-party software. Refer to your software's instructions or website if you need further instructions.