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Problem with old game

I recently received a copy of Dust: A Tale of the Wired West and when I put the game in, hit install, and then a window pops up and says "Setup is preparing the InstallShield Wizard which will guide you through the setup process. Please Wait" during this process, I get an error message that says "This file does not have a program associated with it for performing this action. Create an association in the Set Associations control panel."

The game is from Windows95, but I hoped it could run anyway. Help?