It's perfectly feasable to run games from a DVD.
However, the only way you could write to it, (Eg: to store changed configuration data), would be in a multi-session. As far as I can remember, this makes the previous session unavailable to windows. (But still on the CD).
(Can't remember if this applies to UDF formatted disks).
You could however, tell the program to save any changable data on the hard-disk.