Nope, boot directly from the CD and you configure HD partitions and all.
With Windows 95 you had to format the hard drive and install basic dos to load the CD-rom and them run setup from there. 98 you had boot disks with CD-ROM support and could run setup after the partitions are established.
You never needed to copy the files to the hard disk unless you wanted it faster but these days IDE and CD-ROM speeds make the gains negligable.
-Andy