It's been a while since I've done this (win95SE), but I believe you can make the game auto run (like a store bought) by doing the following:
Create a .txt file called "autorun" (or is it "autoplay"??...) and put 2 lines in it:
Copy <CD-ROM Name> to <Where you want game to install>
Run <Directory from above> setup.exe (or whatever the install file is called)
Change the file extention to .ini and add that file to a CD along with all the game files. When you put the CD in the drive, the game will automatically run/install.
Like I said, it's been YEARS since I've done this, so you might want to google on the correct way to make a CD autoplay.