Third party manufactured devices (printers, modems etc) often need additional files (drivers) to work. For many of them, the additional files are installed ready to go within windows - you've probably seen the notification when you plug a device into a Windows computer "installing device drivers". These are often generic drivers which work across a variety of devices by different manufacturers.
Unfortunately, some device manufacturers don't submit their device drivers to Microsoft (as it cost money!) and provide the additional files/drivers on a CD, to be loaded before or during the installation of the device.
Hope that makes sense!
JF