You can't do that with any of the standard versions of Windows because they have to dynamically write data to the Registry.
You might be able to get around it if you managed to load the Registry into a RAM drive and make Windows read from that, but Windows always reads Registry files from a fixed position.
There are also many other files that Windows makes changes to every time you load it. Again, unless you acn get them to run in a RAM drive, it is impossible to do.
Windows also does not dynamically load drivers nearly as gracefully as Linux can.
As with gentobu's advice, if you want to load an OS from the CD, the best choice at the moment is Knoppix, which is virtually feature complete.