Actually, I would create an installer, and then design an autorun.ini file. Look up autorun.ini, and you'll find plenty of sites that tell you how to get it to automatically run a .exe file and change the disk's icon when it is inserted. I actually use an autorun.ini file on my flash drives to change their names, give them an icon, and, if I wanted to, change the options that appear when you put it in.
After that, you just burn the autorun and installer to a disk and you've got it. Or, alternatively, you can burn the game itself, and have it run from the disk, although you'd have to edit where it saves the game data so that it doesn't cause an error.