I dont see why not. Depending on the size of your game depends on what CD to use eg: Anything under the normal CD limit size can be put on a normal CD and so on. You will also need a "autorun file" to execute "start" your games exe. The autorun batch file needs to be edited with the name of your games exe eg: mynewgame.exe.
Instructions
Burn all the files on to CD including the autorun files "edited ofcource". Do not put the game folder on the cd but all the files that are in your games folder. eg:
files
yourgame.exe
setup
userdetails
And the autorun files
To edit the autorun batch file simply right click on it then go to edit and ad the name of your games exe. It will look something like this.
@echo Loading CD Please Wait...
@start yourgame.exe
@cls
@exit
Ive uploaded the auto run files here.
http://hotfile.com/dl/29061551/d41476e/autorun.rar.html