I assume you mean "run the website without a web server"?

There's no Concrete5-specific way to do so. Instead, I think you're best bet would be to get one of those programs that automatically sucks down an entire website as static files (or learn how to use the recursive features of CURL on the command-line). Then you can put a static html/css version of your site on the CD-ROM. Of course no functionality that relies on the back-end will work -- you can't log in and edit things, you can't submit forms, etc. -- basically the site is just a snapshot of what it looked like at the time you saved it.