A good question. The cdrom device doesn't show up in the grub shell as one of the devices. Maybe if you added it to /boot/grub/device.map you would be able to have an entry resembling the chainloading entry for windows. However, a cdrom doesn't have a drive like mbr unless you produced a cdrom image of a hard drive.
Normally this should all be unnecessary, because you should be able to boot up to cdrom before grub anyway. Just make sure the cdrom is before the hard drive in the BIOS boot sequence.