I have not done that, but I would expect that by simply browsing the files on the CD, you can find the folders you are looking for. They are likely just sitting there waiting to be copied during the installation.
If that's not the case, you can certainly use the CD to install on a Windows computer and then take the folders from that installation to use with OpenXCom on Linux. I had a backup of an installation on a windows hard drive, I used those files on Ubuntu and everything works well.
When we say "vanilla", it just mean "the unmodified standard", like vanilla ice cream flavour, the common, standard one compared to other fancier flavours.