Windows has already installed this but when you restart into dos you unload your cdrom driver. To install unzip to disk (drv a ), shutdown/restart into msdos and run setup (drv a ). It will automaticly find your cdrom and configure config.sys and autoexec.bat
If you have multiple booting hard drives you must exit windows and boot off the drive you wish to install to.
(eg, Your 2nd bootable hard drive when booted off 1st hard drv usualy reads D . You must reboot to your second hard drv to change its D value C before trying to indstall mscdex)