The installer works fine on me directly from CD (using SLED 10). Check your mount option in your fstab to see if execution of binaries is allowed on your CD drive. Usually, giving the 'exec option to the drive should allow a direct execution of binaries from that partition, otherwise you'll get Permission denied error message.
fstab is usually located in /etc/fstab, and for a list of possible mount options, consult 'man mount'.
Hope this helps.