Oblivion Question

I'm fairly new to video games, and was just wondering if Oblivion - The
Elder Scrolls IV, does it have to be run from the dvd?

Or have I somehow installed it wrong. I did install it with Administrative
rights to begin with, but when I click on the game in Vista's game file, it
says to insert the dvd. It does run from the dvd, but it would be better if
I could run it from the harddrive like COH.

I notice that the website doesn't support Vista, so I guess I'm lucky it
play at all.

Thanks for the help.