Playing Xcom (downloaded for this site) on XP, I entered a building to conduct a mission. On the briefing screen a pop-up appeared asking me to insert the CD.

As I dont' have the the CD, any ideas on how to get round this? I'm thinking there must be a config file somewhere that needs tweaking to let the game know all data is on the C drive.

Yes, there is such a file.
I remember having a similar problem with my own copy a while back, cept don't remember how I solved that.