Call Of Duty 2 pc game that purchased

Question

The Call Of Duty 2 pc game that I purchased from Best Buy I cannot play.
I have successfully download the program into my computer but when I go to play the game I have a window that come up that says: PLEASE INSERT PROPER CD/DVD-ROM CLICK OK AND RESTART.

I don't understand this, can you help me with this problem. I have gone on the internet to the Call Of Duty website for support but could not find much help there.