It doesn't work from CD because it's trying to save data back there. It's the same reason you can do things like copy-paste the entire directory without losing anything. 1.09 will probably have a feature for allowing you to save data into your Application Data folder, which will let you do that or save different user accounts, at the price of losing the ability to copy-paste the directory.
Maybe we can get an actual install for 1.1 to set options like that...of course, that assumes we get off our asses ^_^()