I've discovered that you don't even need to burn a CD, unless you want to backup your AO files.
If you have a friend or so who has AO on the PC, ask them to borrow it. Do a full install on your PC, and then manually copy all the files that end in ".ddv" into your Abe's Oddysee directory. Then you have the whole game on your HD.
This works with version 1.0 anyway.
Dunno if it works with AE though.