I think he's trying to run the APP as a browser plug-in (like javascript or something), with the DATA that is held locally. Right now he has an EXE file and he wants a file that will download transparently to the user and run within IE or some other browser.
Again, I doubt many browsers would loosen security enough to make this possible. In windows, writing to a CD is a pretty low-level process.
I'm no programmer, but if any language is leading in that direction, it's .NET.