The most likely reason to do that is some game that is on the CD. Windows Networking does not provide a networked "CDROM" drive that would look and act like your local CDROM drive so any game would fail.
Since any files that were on the CDROM could be put in a network share this brings us back to it's likely some GAME CD.
Let's go with no.
I have no idea if the following is possible but hopefully it is...
If 2 PCs are connected to the internet can I run a cd rom on one pc from another and if so how?
Also dsoes it matter if the OS are different, XP and Vista?
Any help appreciated.