Try creating a textfile using notepad called autorun.inf
The file should have 3 lines only...
You will obviously need to substitute the correct names for myprogram.exe, mydatafile.txt and Myprogram.ico
Alternatively, try a program such as click here - there are many free ones that are similar.
If that does not work, it may simply be that the program cannot run directly from CD, and needs to be installed so that it can access a number of dll files that were registered as part of the installation process.