To install FileMaker Pro or FileMaker Server (when purchased in a Studio Suite Bundle), first drag the .exe files from the CD provided to your desktop, then perform the installation with the version on your Desktop.
This step is only necessary when installing from CDs provided with a Studio Suite Bundle. If you have acquired the FileMaker CD from another source, this step is (most likely) not necessary. It is also not necessary if you are using a Mac.
Once the software is installed, you can delete the installer from your Desktop.