What do I do with this Minecraft Story Mode Complete Adventure Disk(PC)?

Double click on the installation file when you look at the files on the disc (that's all a 'run disc' option does anyway, executes one of those files)
Look for anything called Setup, or anything with an .EXE or .BIN extension.
You can post a screenshot too so we can help.

I only saw java stuff so I deleted those because they were waiting to get burned for a different disc(not the current disk) Now it's telling me to insert a disk when I put in the correct disk.