While all the above is true, you still might be able to do it. But its a pain in the ass.
If the game dosent need to save any game data while your playing(or you can assign a different save game directory), you can install the game to your hd, then burn it back onto a dvd-r(w). Try it with a dvd-rw and see if it works. Some games need to have the location updated in the registry to work like this.
You could also try installing to a packet written dvd-rw. But as DuffMan said this will be very slow loading and may not perform well enough for you to even play the game.
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