This can be done by adding a startup item which then runs the program on the CD.
The most obvious way to do this would by to simply make a shortcut to the application on the CD and then put that shortcut in the Startup directory for your user profile (under XP this is located at
C:\Documents and Settings\<UserName>\Start Menu\Programs\Startup.)
In my testing I found that Windows apparently doesn't put up an error box if a shortcut in the Startup folder is invalid. So, you can take the CD out and not be annoyed every time you log in.
Note that this method won't work quite as well in versions of Windows newer than XP, since such startup items are blocked by default.