The steps used in the video:
Mount the .iso image using:
mount -t iso9660 -o loop (location of .iso image/name of file) /mnt/cdrom
In my case I put the .iso in the /var/R75 directory:
mount -t iso9660 -o loop /var/R75/Check_Point_R75_MD.Splat.iso /mnt/cdrom
Now run the mds_setup script from:
/mnt/cdrom/linux/p1_install/mds_setup