The X-Com: Terror from the Deep playable demo requires to be installed from DOS.
First, type the letter of your CD-ROM drive, followed by a colon and press return.
Type "CD XCOM" to change to the directory with X-Com on the CD.
Type "INSTALL d:", where d is your local hard drive.

For help with other problems, you can read the "README.TXT" file in the "XCOM" directory on the CD-ROM.

For further information, contact the technical support representatives at Microprose.