I bought the anthology.

I've installed Arena, Daggerfall, Morrowind, Morrowind Construction Set, and...

Not Oblivion.

Reason being is the disc one, GOTY Edition, does not provide me with a setup.exe window when I load it into my disc tray. I don't know why. All my other discs worked right away and continued to run properly.

Has anyone run into this before? Any ideas on where to go from here?