can't install HP PhotoSmart Premium C309

Setting up HP PhotoSmart Premium C309 printer/fax/copy/scan machine. O/S Ubuntu 9.10. Got as far as opening the setup.exe file on the CD when Archive Manager gives this message

Archive: /media/cdrom0/Setup.exe
[/media/cdrom0/Setup.exe]
  End-of-central-directory signature not found. Either this file is not a zipfile, or it constitutes one disk of a multi-part archive. In the latter case the central directory and zipfile comment will be found on the last disk(s) of this archive.
note: /media/cdrom0/Setup.exe may be a plain executable, not an archive zipinfo: cannot find zipfile directory in one of /media/cdrom0/Setup.exe or /media/cdrom0/Setup.exe.zip, and cannot find /media/cdrom0/Setup.exe.ZIP, period.

Downloaded the installation wizard and opened a terminal. Following install instructions I typed into terminal

cd Downloads (that's where the wizard downloaded to) - that worked fine.

Then typed in
sh hplip-3.10.2.run

Message comes up
sh: can't open hplip-3.10.2.run

Where do I go from here?