It depends where you get them from, you may get all the business routers which don't have a CD, because they trust that the people they sell them too know what they are doing! The thing i got was a Network starter pack so as you would expect it's a case of do what the CD says when it says :D
It said on mine that it will take between 20 & 30 minutes to complete, it took me around 5 :P But the CD basically did it for you.