The only thing I can hope is that you can change the save directory from inside the game. I think some of the old Lucasarts game could do this but I can't remember which ones. But most just put the saves onto where the game runs (and in your case that would be the CD drive).
Otherwise there's not much you can do other than copying the files onto the hard drive and running it from there or try installing the game. (I do remember playing a Monkey Island CD version which installed very few actual files to the hard drive-mostly the config plus saves)
If you're running Linux you could try symlinking all the file from the CD onto the hard drive, but I don't know if Windows supports that yet.