I take it you are using a wireless network? Your mac will need to have an AirPort card compatible with your machine (or other wireless network card/USB stick, I'm not sure which others work though) for that to work. And the CD you've got is probably Windows-only (they tend to be that, at least). Other than that, I don't know much about wireless networking under Mac OS 9, as my only wireless capable Mac runs OS X 10.4.
If you use a cable to connect it though, it really should mostly be plug and play, just make sure the TCP/IP control panel settings are set to"Connect via: [Ethernet]" and "Configure: [using DHCP]".
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