This is not a file. It's a logical name given to your CDROM by MSCDEX.EXE. Look at your Autoexec.bat file and you will see the line like that:
That line means you need the corresponding line in your Config.sys file with exactly the same logical name specified. For example,
This line loads you CDROM driver and give logical name to it, which then will be used by MSCDEX to assign a letter to the drive. Check your Config.sys file and make sure you have the proper driver for your CDROM here and the /D: switch is the same as in MSCDEX line. If you have the line for your driver in Config.sys and /D: switch is correct, then make sure you really have the driver file in specified directory and it recognize the CDROM while booting. The best way to check this is to boot in step-by-step mode and look for any error messages occur.