You have to have a fully patched installation of the game.
The no CD patch can be found at
www.gamecopyworld.com just make sure you get the right patch for your installed version.
People get upset about this sometimes because it could be used to "steal" the game. I only recommend it if you
actually own the game, otherwise it is stealing.
I find it useful because I have several games loaded that I play with and it
is a pain swapping discs.