"games" or "a game"? That is, are you asking about one particular game
or does this symptom occur when you play all games (assuming you have
more than one)?
Maybe your game is copy-protected and requires that its CD be in the
CD-ROM drive when you want to play it. Don't know why you decided to
hide what game you are trying to play. Obviously if you named it then
someone else that plays that game might be able to assist. Since you
did not mention the game, all you'll get is untargeted and vague
responses.