All Westwood games have their setup.exe protected by safedisc. Try safedisc2cleaner, it's a little program that allows you to get the safedisc protection out of that setup.exe. Always try the decoded executable you get to see if it works. Bools page is
here, you can download the cleaner from there. Use this to clean up the setup.exe. You can also use it for the main executable, but it might be better to use an existing nocd for that, you find them
here. If you use the 1.006 nocd, the official 1.006 patch (latest) can be found
here. So let's recap, You have to make a cleaned setup.exe by using Bools Eye's safedisc2cleaner. I'd suggest you make an extra subdir on the cd, named 'patch' that includes the official 1.006 patch and the nocd for easy installation. This might all be a bit daunting, but begin with using safedisc2cleaner on the setup.exe, burn a cdrw with the new setup.exe in place of the old one and see if that works. You can add the nocd if needed.