You are complaining about Windows XP setup program, not VB itself.
It's been ages since I used Windows, but IIRC, the Windows setup program doesn't actually know if the CD is inserted, because early in the boot process it is wholly loaded into RAM together with a miniature Windows environment which supports it, at which point you could pull out the CD and it will continue running in RAM. Then it needs to search for the Windows CD again (among all drives that may be present in the machine) and it asks to ensure that the CD is still present.