I can only see a CD drive when Nokia 8 is connected to my W8.1.
Is there any driver to install on that windows version?
The setup.exe located at CD drive showed is not installing on my PC.
When your connect your phone to a pc you should get a dialogue appear on the screen when you unlock the phone asking you to allow access, your device will not show up until you grant this permission. Yes you are right the setup.exe in that folder is the mtp device driver for the Nokia 8 which will have installed itself automatically when you connected the phone, which is why it doesn't do much when you run it again. The Nokia 8 does not appear as a mass storage device, you have to access it through mtp.