Vastly over simplified, but here are the general steps.
Create a new document in Flash and choose "AIR for Desktop".
Build your application in the Flash document using ActionScript 3.
Publish as Adobe AIR, File>Publish. You will be required to enter many parameters, but selecting "Output as:" "AIR Package" will create an AIR file that will install and run the Flash project on Mac and Windows. The package also requires AIR to be installed on the user's computer which it will handle if necessary.
To make the CD auto run, you'll need to include an auto run file on the CD itself alongside the AIR file.