If the error you are getting is:
Setup is unable to find _SETUP.DLL, which is needed to complete the installation.
When you click on the "Install Statgraphics" link, a window pops up asking whether you want to save the file to your computer or not. Do NOT save this file to your computer. Instead, open it from its current location. There are multiple files needed to install StatGraphics so when you save setup.exe to your computer and try to run it, setup.exe doesn't know where the rest of the files are. This leads to the error.
If you open setup.exe from the CD without saving it to your computer, you should be able to install the program without any problems.