The installation is looking for some additional drivers.
When you bought your PC, Win98SE was probably pre-loaded and many dealers did not supply a CD with the computer (still happens today). Usually the entire contents of the CD are on the hard drive, but it is knowing where to tell the installation to look that causes the problem.
Ask around, one of your mates may well have an old copy of 98SE which they no longer need. So long as you have your original Microsoft Serial Number, any CD will work. Failing that, ebay will have lots !