Just checking that you are selecting Network Printer, not Local Printer in the setup?
The HP installation and setup instructions for your printer are
here.
This is the CD that you are missing - HP LaserJet 1160/1320 printing software CD-ROM
I suspect that you will need to download the
Full Printing Solution.
This will hopefully contain the contents of the CD that you didn't get with the printer.
Cheers
SD