Hello Gerard
I run a local small computer business, and I have sold/set-up literally hundreds of routers over the past 11 years, from various manufacturers, my recent favorite being Buffalo.
I NEVER use the install cd that comes with any brand of router, but my guess is the cd is not Mac compatible.
I would personally just connect the router to your MacBook (with a cable vs wireless on one of the LAN ports), wait a minute or two, then open Safari and enter the IP address of the router in the address bar (with Buffalo the default is usually 192.168.11.1) and you should be off to the races, so they say.
Good luck!
Rusty