All you have to do is launch PlayOnLinux, click the Install button (+ icon), find the desired game or application in the list and click the Install button. The rest of the procedure will be instructed by the application, it's pretty straight-forward.
In case it can't detect your CD (it happens sometimes), you can copy it to your computer and specify that folder instead of your CD drive.
Hope that helps!
Disclaimer: I'm a noob, not a dev; my advice is only a guess.
Attention : Je suis aussi noob que vous, prenez mes suggestions avec un grain de sel ;)