GreyWolf's suggestions sound like they're worth looking into, but here's another recommendation that you use a HTA for Windows systems. A HTA will run using the Internet Explorer layout engine no matter which browser the user has set as default, so you only have to design with that engine in mind, and you can utilise the VBScript/JScript capabilities that only Internet Explorer allows.
A HTA should be great for your situation, and what's useful is that you can ensure the entire experience is designed to your liking, with no browser windows popping up (you could even hide the default Windows titlebar and create your own, if you'd like).
One thing you could probably do is hide the HTA window and have it run the EXE file; that way, the EXE file could run as soon as the CD runs, without any other windows popping up. If you see what I mean? I'm not sure exactly what you're after, but that should be possible.
I have a lot of experience with the HTA concept, so feel free to ask if you have any problems