First, be sure that it is "illegal" - if it is a copy, could be a backup of a CD the client laready has.
Second, tell him that it is necessary to agree to the End Users Licence Agreement during the install which is legally binding.
Tell him of your thinking and ask him to install it himself.
I remember some time back there was a similar query about PC repair shops being asked to install pirated copies of an OS. It's a difficult one as it can lead to a loss of business.