Can I play AOE without the cd in the drive ?

[crispy]

Use Daemon tools.

Create an image of your cd on you HD with CloneCD.
Install Daemon tools, and mount the image on its virtual cdrom.
You can now run this as if it was an original disc in a real drive.

By the way, if you want help in future, it's always helpful if you tell us a little bit more about what ya got.

e.g. burner make and model, programs etc