I tried doing that on my laptop and didn't have any luck. So I just carry the CD with me everyplace.
I have the 20th Anniversary CD's (great for my old, weak laptop), the DVD's (great for the home theatre) and Daphne (great for the arcade cab) setup, and I'm very pleased with the quality of Daphne's emulation.
The CD's are great for on the go, but the hit in video quality at full screen is just too great for me to look past, and the DVD's look awesome, but they have a bit more gameplay lag than I like, at least on my old ass DVD player.
Don't give up on Daphne! Once you get it going, you'll love it!
In fact, I think I'll play me a game of Dragon's Lair right now.