The way you are using the wizard is to install Microsoft drivers shipped with Windows.
Once you've downloaded the
drivers from Brother run the file and choose to extract somewhere that you can easily remember and navigate to, eg desktop\brother. At the step in the wizard that you posted a screenshot of, click 'Have Disk ...' and then click 'Browse ...'. Navigate to where you extracted the drivers from Brother, and open any of the *.inf files that it shows you, it doesn't matter which you pick, it will have the same effect. Click OK, and it should show you your printer in the list, if not, uncheck 'Show only compatible hardware' and find your printer. Follow through the rest of the wizard, and your printer should be installed.
Add me to MSN Messenger and I can walk you through it.