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A quick note to add to this, in Windows 8 and 8.1 you don't need to use any third party software to create a virtual optical drive, you just need an ISO file. The OS will mount it automatically as a virtual drive when you double click it and It doesn't matter what the ISO is either, so long as it mounts as a drive, the game will work.

If you don't have an ISO file handy and aren't sure where to get one, there are numerous free, lightweight linux ISO distributions that you can download and use. Core Linux is as good as any at 9mb.
sorry for this late reply, but here is another easy fix for some that was not mentioned before:

After plugging in an external optical disc drive - just empty - and restarting the game, the menue showed up just fine.

This issue should truly be ironed out or included in the faq. Enjoy!
The same thing (PLEASE INSERT PLAY DISC) happened to me, though I do have a DVD in my laptop. But I used the drive letter A: for it, which for some reason EoC didn't recognise. (Probably 'coz old Windoze didn't allow assigning A: or B: to other than diskette drives.)

Anyway, when I assigned a different letter (G:), it didn't require "play disc" any more.