Easiest way (worked for me)
1. Mount cd1
2. Copy the files (not the folders) except 0compress.zip to a folder (c:\games\NFS or something)
3. unzip 0compress.zip into the folder you copied the files to..
4. do the same with the zips on cd2,3 and 4..
5. start the game with speed.exe (with cd1 mounted)

Ph'nglui mglw'nafh Cthulhu R'lyeh wgah'nagl fhtagn!
"The sky was the color of a TV tuned to a dead station" - Neuromancer