Do what Lostpups said, although you don't have to copy if you don't want to.
I usually boot with a Win98SE boot disk (making sure the cd-rom drivers are on there) then run SmartDRV.exe twice. The SmartDRV.exe is a disk caching utility (I think) which makes the install WAY faster. You have to run it twice to get it to work. First time nothing shows up, second time you'll get a message. If you can't find that file, just look through a Win98 machine and copy it over. It's around 50kb's I think.
Lastly, after that's done (not sure if you need a reboot) just boot up again and go into the cd, i386 folder and run winnt.exe.