Correct Cd-rom Alice I HAVE DOWNLAODED & Installed Max Payne But When I Click To Play It Is Showing Pls Insert The Correct Cd-rom?

I HAVE DOWNLAODED & installed max payne but when i click to play it is showing pls insert the correct cd-rom? - correct cd-rom alice

Max Payne, I downloaded and installed, but when I point to the game pls insert the correct CD-ROM
Please tell, how to play the game without CD