Not sure about the CD, but for all Baan GUIs that are downloaded, they give a Zipped package. You have to unzip this package into a separate folder (like a temp folder) and then within that folder, click the setup.exe and away you go.
You can't do this directly within Winzip or else you get errors.
Be careful during the install. If you have an existing "environment", you might want to choose that if you are upgrading (instead of making a new environment) your GUI.
Check out www.support.baan.com
for the latest GUI version. Go to the knowledge base and then choose Baan GUI for the search. It should be the first solution listed.
The latest version of the GUI is B40c.68