Okay, I'm assuming you have a CD burner, if you don't, see the alternative
First you download an ISO burner
You put a blank CD in the burner
You select the first freespace cd file and click "burn"
After cd is completed repeat process for the other two.
Then use the CDs to install the game
Alternatively get 7Zip
, use it to extract the files in the ISOs to a directory, and run the setup program from there.