Have you tried the Linksys website?
You don't need an installer CD for such things. They just throw things like that into the box to make people feel better.
the website for it says "Setup Wizard Disk fails. If the setup wizard disk fails, you can ignore the error message and configure the router without using the software"
Does this help?
A Linksys Network Everywhere Model NR041. 4 ports.
Parallel universe stuff, I guess...