I create a C++ application to be our CD menu key. You can compile it without having it depend on any DLLs. I have also seen installations use HTML as their CD menus. The problem with that is that the user may have locked down security and disable the HTML file from running files on the machine or their default browser doesn't allow it. That can be a pain. My suggestion is to write an executable that doesn't depend upon DLLs. It is a lot easier in the long run.
