I got an "illegal command: win" when I tried to run the install.exe and setup.exe.
I mounted my "C:" drive by typing MOUNT C ~/DOSGAMES after creating the dosgames folder under users/[my user name]/
I mounted my cd by typing "mount D /Volumes/gdi95 -t cdrom
I typed d: to switch to the cd, then dir to see whether there was an install or setup file. There was both, but when I typed "install", "install.exe", "setup", or "setup.exe", I received an "illegal command: win" message.
The version of CnC I have is the free version available for download that was released for CnC's anniversary.