OK follow these steps.
1. Open RegEdit (to do this type RegEdit in the Run Box or the Search box depending on your version of windows)
2. Go to
HKEY_LOCAL_MACHINE\SOFTWARE\Square Soft, Inc.\Final Fantasy VII
By pressing the + button next to each box.
3. Click on the "Final Fantasy VII" folder In RegEdit on the left side.
4. Where it says DataDrive on the Right represents where the game is looking for the CD, make sure that is the Drive that your CD is in (so if your CD is in your D Drive make sure it says "D:\")
If you still don't understand take a screenshot of how far you have gotten and post it here.