|If it is the .exe that the game "actually runs from" then fine, it will probably run direct from the CD too. Much more likely that this .exe installs the game onto the HD.|
Are there any files for this game installed on the HD (apart from a single .exe file)? Did you use the CD to install the game, or did you just copy the .exe to the HD and it now runs from it? This would give you a fair idea which type it is.
Some games that install from the CD give you a minimal install option (using the CD for game data) which keeps the install size down.
You need to find out more about that CD before we can give a definitive answer. If you do that you will probably find the answer yourself anyway. No two CD's are alike.