You have to check if the CDs are supported or not. By default, they're released for Windows, but developers also choose to put a DMG version for Mac. Insert the CD, double click it and then look for a Mac folder or a DMG file. If there is one, launch it and install the screensavers. In case no file is found, then it means the screensavers are not compatible with Mac. You could try Wine Bottler to install Windows apps on Mac.