You're right, the windows one doesn't work as I tried it when I went home for lunch.

When I pulled up the cd with the Diag504fCD.iso, I noticed that the icons were separated by two different headings. One was "I" and the other "S", as if they were separated under different paths perhaps. I was thinking that may that is what the message meant by "Please make sure that the License Agreement file is located in the same path as DLGDIAG.EXE", because both of these particular file's icons were under a different letter something like this:
S
_________________________________
License Agreement
I
____________________________________
DLGDIAG.EXE
Now I'm not sure if "S" was the other letter, but "I" was definitely one of them. I don't know if that means anything or not. I did try to drop and drag them under the same letter, but it didn't work. I also tried to copy and paste one with the other, that didn't work either. This is so frustrating because I really believe it would work if they were not separted.
I also tried to re-burn the Diag504fCD.iso, but alas it turned out the same. There must be someway around it.
Jenny