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I downloaded Oracle Application Server 10g from this Oracle site. It has 4 .cpio files for the Linux installation. How do I unzip and install it on VMWare?

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A cpio is a file containing other files, similar to tar files. Usually your system (you mentioned Linux but not which distribution) will contain GNU cpio. you can list the file sin an archive by using cpio -it < file.cpio and extract it using cpio -i < file.cpio.

I don't know anything about Oracle Application Server (as this is the dba site: mind that Oracle Application Server is not the Oracle Database, that's a different download) but assume the first "CD" contains an installer script and an installation manual.

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