It's one of the joys of running Excel. You're in the midst of doing something in Excel and it asks you to install the Analysis Toolpak from the CD-ROM. The Excel Analysis Toolpak is a set of additional functions used primarily for statistical and financial analysis; those functions are sometimes called for in other macros or formulas or dashboards. Oddly enough, the Toolpak is usually installed on your hard drive, even though it asks for the CD-ROM, thanks to some code dating back to the 1990s.
Loading the Toolpak
Odds are, the Toolpak was already installed on your hard drive when Office was installed. There are two ways to check. The first is to go to the Tools menu and select Add-Ins. See if there's a check box for Analysis Toolpak. If there is, check it, and the next time Excel is started, it will load the Toolpak automatically. (The Toolpak isn't loaded automatically by default because it causes Excel to take longer to load).
Looking on Your Hard Drive
If you don't see the Toolpak on that menu item, there's another place to check. Go to C:\Program Files\Microsoft Office\Office\Library and look for ANALYS32.XLL, ATPVBAEN.XLA and FUNCRES.XLA. If they aren't there (and they may be in a subfolder called "Analysis"; do some digging to be sure), you don't have them installed.
Downloading the Toolpak
Getting the Analysis Toolpak as a download is easy, but counterintuitive. All of the Analysis Toolpack files are available and installed in the Office 2003 service pack 3 download file. This will replace and update earlier versions of the files, and appears to work for Excel 2000 and Excel 2002, at least in this instance. To learn more, go to Microsoft's description of the changes in Office Service Pack 3. You will still need to go to the Tools menu and Add-Ins to turn them on, and if you're using them in an earlier version of Office, you'll need to put them in that version of Office's "Library" folder.
Later Versions of Excel
Excel 2007 and Excel 2010 Beta both install and load the Analysis Toolpak by default, which simplifies life considerably.