A few years ago, game developers, like Mindscape (Torture Cérébrale's publisher) made you keep the DVD in the tray as a copy-right protection method so that you couldn't just install the game from the DVD bought by a friend and play it without buying the product. Nowadays, games are mostly digital so this kind of protection is rarely used anymore, but you still see it in older titles.
As far as copying all the components locally goes, it can be done quite easily. All you have to do is to create an ISO image of the DVD on your computer, then mount it on a virtual drive and the game won't be able to tell the difference. My favorite choice for that task would be Daemon Tools Lite, but there are many other options available such as UltraISO or Magic ISO Maker.
To create a disk image with Daemon Tools Lite place the DVD into the tray, run the application and, in the main window, click on the Create Disk Image (its icon is a DVD with a floppy disk over it.) In the window that opens up, use the the three dots button to select the drive that contains your DVD, then enter a name for your file and select Standard ISO images in the Type field. Click Start and wait for the process to complete. Lastly, from the Daemon Tools Lite main window, click the Mount image button, select the ISO that you've just created and your game should now run without the DVD inside the tray.