If you cannot launch the installation wizard, you will have to manually copy the product files from the CD-ROM to your disk. Follow this procedure to find the files and install them properly:
Open the other folder at the root of the CD-ROM
Extract the contents of the jdmk41.zip file to the installDir folder of your choice.
This file contains the whole file hierarchy of a full installation for both the JDK 1.1.x and Java 2 environments. Either delete the branches of this hierarchy that you don't need, or use an archive utility to extract only the files you need.
This archive is not platform specific and therefore doesn't contain the scripts for launching proxygen and mibgen in its bin directories. Instead, you have to launch these tools from their corresponding Java class: com.sun.jdmk.tools.ProxyGen and com.sun.jdmk.tools.MibGen.