Some programs aren't meant to be installed on your computer - they're meant to be run directly from a CD or File. To try running such a program in Crossover, you'll first need to create a bottle. To create a bottle, go to Crossover's Bottles menu and use the "New Bottle" option to create a new bottle (The name and type aren't usually too important in this case)
Click the "Bottles" option again and select "Run Command" this time.
Select the bottle you just created (if it's the only bottle you have, it will be automatically selected) and then click on "Browse".
In the finder that opens, browse to the file that launches your program. If you're using a CD, browse into the structure of the CD, itself, and look for an .exe that launches the program. This file is often called "start.exe", "run.exe", or simply the name of the program.
After selecting the file, click "open" and then "run". If you're successful, your program will launch.