Yes, the DVD contains the game, so you can use it to install BTTF.
Normally you would install the first episode by e.g. double clicking "bttf_101_setup.exe", but nothing happens when you do that?
Could you also please post a dxdiag file?
Windows XP: Go to your start menu and click on run. Type in "dxdiag" and hit enter
Windows Vista / 7: Press the windows key on your keyboard or
click on the start menu. Type in "dxdiag" and hit enter.
Now click on the button that says "save all information".
It will prompt you to save a file. Save it where you can find it.
Then zip the file
and attach it to a reply in this Thread.