Strange. What version is it? Is it one of the latest from
this page
I don't think anyone else has had this problem, it should ask for the WB 3 disk before unzipping the files.
EDIT: I've just re-read your post and you're using the "Copper_install.adf" instead of the "ClassicWB_Install.adf". The former is for installing the copper addon pack AFTER you've installed the ClassicWB. The latter is the actual classicwb installation disk.
It sounds like you've only downloaded the copper addon pack. You need to download the classicwb first!!!!!
Go back to the download page, grab either the FULL, ADV or ADV SP (need only 1) then download the corresponding copper addon pack. Install the classicwb, then the addon pack.
Use the correct pack first and everything should work fine.