While the router is compatible the CD is usually not.
Since you never setup a router without a CD or helper app I suggest you return it for something that has a CD with apps for your Apple.
I bought a Tenda W268R router from Microcenter and am having problems to set it up on my Mac Powerbook. When I insert the CD that comes with it, it has only files for PCs (.exe and others than don't run in a Mac). The User guide has no mention of Macintosh in it and the same is true for their website. What should I do? I never installed a router before so any help is very much appreciated. Thanks!