The installer if bitching because it wants the disc in the drive, but you can't do that since there is no actual ISO to mount. What you need to do is - on that launcher screen (last picture), click on that 2nd option (HDDヘインストール) and it should install it. Then just run the game.
I should also mention that the game has some stupid "save import system" in case you're thinking of getting a 100% save...for whatever reason : D.