You have to use relative path names. Make sure you enable relative path name before you save the mxd. Go to File-Map properties-Data Source-Store relative path names.
When you save your data make sure you save the project to the same drive letter where your data will be stored. When you create the CD, make sure that the application is in the same position in the directory hierarchy relative to your data. This means that file based data including coverages, shapefiles and personal geodatabase layers must be stored on the same drive unless you are accessing data within an organisation via a fixed set of standard corporate drive letters.