How do I install software from a CD or DVD shared from a Windows 7 PC?

I have a MacBook Air and I'd like to install CD- and DVD-based software on it without having to purchase an external CD/DVD drive.

I stumbled upon the CD & DVD sharing feature OS X supports but I've been having trouble getting it to work. I'm sharing my DVD and CD based software using a Windows 7-based PC with drive sharing enabled. But when I try to access the drive the Mac "thinks a lot" and then it says (roughly translated from danish):

Action could not be completed, because the original subject to "Warcraft III" doesn't exist

I've tried this with multiple software discs, all have similar error message results when I try to access the shared disc from my MacBook Air.

How can I make drive sharing work from my Windows PC to my MacBook Air so that I can install this software?

Additional information:

• MacBook Air is running OS X Lion
• Practically no HDD-space used on the MacBook Air
• The PC with the CD/DVD drive is running Windows 7

If you copy the CD to a disk image on the PC, you can put the image on a USB stick and transfer it to your Air. I am not sure how to do this on Window, but I'm sure you can find out how to do this somewhere.

WinImage looks like it should do what you want.

Also look at this article on creating CD images on Windows.