If by CD, you mean Game, yes, obviously. If you actually mean the CD in it's proper place, then no. Once it's installed, all you need is an internet connection.
If you don't want to read everything I've typed, a less 'in-depth' version is at the end.

Have you already created a character? That's...Oops, the second step.
Grey-company is on 'Shard' Lake Superior. When you have your game installed and have logged into it, you choose Lake Superior (Else you'll never find Tel' Ruid, their town.)
Then, if you haven't already created a character on that shard, do so. Easy enough: profession (Changeable later) and appearance. It's self-explainitory (SP, I know) as I recall.
Once you're in, you will be in Haven. Little messages boxes will generally tell you what to do from there, and if not, most of the people are friendly. You can find people almost always by a bank (In Haven, this is the grey building next to/near that castle.)
I'm assuming you know the basics (walking, talking) and it's in the quick-reference card that came with the game if you don't. (If you've lost that, like I did for a little while, you walk by right-clicking the mouse and talk by typing and pressing enter.)
~*~*~*~*~*~
Gotten that far? Fed up with the New Player quests? Died one too many times? What hey, if you're going to die, may as well do it while you're still young
and looking for Tel' Ruid, right? That was my attitude until I lost my young player status in the middle of the forest. Hm, it's not wise. (Templasse was rich, darn it! Other than that, I admit I made it)
Tel' Ruid can be found in Yew. To get there from Haven, you go South indefinitely, wander around until you find some commotion, and you will find at the center of it a circle of rocks and a blue oval in the middle. Ignoring the various monsters and people and such, as they never seem to go after bystanders (Which is good), go through the blue oval. Then select Trammel Yew (One chackbox by Trammel, the other by Yew, I THINK. Oh, you'll figure it out)and come out, well, in Trammel Yew. Then head pretty much East. That would not, as logic has it, be straight to the right, but to the bottom right corner. If you actually succeed in going straight, however, you'll be chased by skeletons from a grey stone dungeon half-way there, so allow yourself to wander southeast if that's what you seem to be doing. This site actually says to go to some nearby bank, but it turns out that there may not be any elves there and it's harder to do then go east and pray. If you want to try it anyway, good luck.
So if you've meandered a bit you'll meet water. Bring up a map (Alt + R) and find the nearest buildings. If it doesn't show any buildings, head NorthEast (Right).
If you've gotten totally lost, go NorthWest (Up) and you'll find the moongate, or Yew, or some helpful person... basically, don't get lost. Maybe it's better to just stick to the water.
Find it yet?

~*~*~*~Short version
Read the instruction manual, get to a Moongate South of Haven, go to Trammel Yew, go East but avoid the skeleton dungeon, find us.